Audio MIDI Setup to the rescue!
Audio MIDI Setup which is located in
Applications > Utilities.
+ icon in the bottom-left hand side and choose
Create Multi-Output Device.
When the multi-output device is selected, click the Built-In Output, and the Cinema Display's output audio devices.
After this is done, open
System Preferences and click the Sound category. Under the
Output tab, choose the Multi-Output device.
Any applications that were open when you started this process may have to be restarted in order to pick up the change in default sound devices. Some do, some don't.
I do believe that should do it.