Yes, I very much have the experience you've described. For me, it's been going on for some years. Maybe many years, I'm not exactly sure. The voice(s) are sometimes my own, but are usually someone else who threatens me in some way or "warns" me of impending doom. Also, one of the voices tells me to hurt myself. It's very, very annoying and upsetting.
My pdoc is currently trying to settle on a medication that can calm those voices (and other busy-ness in my mind). The sounds are never from outside of my mind, but are always within. Also, therapy actually has helped to quiet the voices to some extent.
Are you in any treatment?