To my knowledge ...
Avast and Online Armor work just fine together assuming that you are only using either the Free Avast or the Avast Pro but NOT Avast Internet Security (because it has a firewall).
I generally advise installing Malwarebytes and Super Anti-Spyware (free versions) and only running them for "insurance" every few days or weeks just to make sure nothing is slipping by my Avast. These will almost always find quite a few tracking cookies so go ahead and delete them but do not get worried about their being there as tracking cookies are most often just a method for making your visit to any specific web site easier and more enjoyable.
If you keep your Operating System and your applications updated you should not worry overmuch about getting "hacked", as most of the updates are for problems that could allow someone access IF certain other conditions were also met.
One thing you could do is create a limited user account for running the media players and streaming audio and limit what other applications it has access to.