Well, you need to get a voice recording software and a microphone. Audacity is a free one that lots of people use and is pretty powerful. Secondly, the voice sets are recorded in the .WAV format, that's important! The voices have a specific naming convention. Baldur's Gate Planet details the naming you should use. Here's a guide.
Comments
BG1 Soundset Tutorial -
http://www.planetbaldursgate.com/bg/help/customize/sounds/
Audacity -
http://audacity.sourceforge.net/
Note: Baldur's Gate 2 has a different soundset naming convention, so don't port BG1 sounds into BG2!