Steve,
Depends on the connector type.
8 pin connectors were speciied way before sound so no pins were designated for speaker wires. All 8 pin (and plain wired) sound decoders have separate speaker wires which do not go through the connection. (The same applies to higher Function Outputs too).
In an attempt to overcome this, the 21 pin MTC connector was introduced, mainly by European manufactures. This has lots more connections and incorporates the speaker connections so no wires are needed from the decoder.
The circuit to the speaker needs to be completed by connecting to the 'Loco side' of the 21 pin connector, usually via the circuit board.
All decoders can be soldered into most (all?)locos, but thats a lot of work in some cases. If your loco is DCC ready, including those fitted already with non-sound decoders, it makes sense (for simplicity) in most cases to use the existing connectors. But you need decoders with the correct connectors - important info before you buy!
Bachmann make much use of 21-pin interface. Your 66 is fitted for a 21-pin decoder, I believe, so look for 21 pin decoder. As you are new to this, I suggest you choose decoders from either ESU or ZIMO. The merits of each brand have been discussed here quite a lot recently. Both will do a good job out of the box. There are other brands, but they will need a lot of work on your behalf to get them to sound OK. Not recommended for beginners and non-geeks!!
Kind regards,
Paul