The solution is found in the Festival FAQ: Running Festival
Create the file festival/lib/siteinit.scm (if you don't already have it) and add the following
(Parameter.set 'Audio_Method 'Audio_Command)
(Parameter.set 'Audio_Command "sox -t raw -sw -r $SR $FILE -c2 -t ossdsp /dev/dsp")
On debian, you put those two lines in /etc/festival.scm