As per default Steam will delete all the localized files - like the voices - when you change the game's language and download the new language files instead. If you're switching languages often, like me, this is rather annoying because it always takes some time to download more than one gigabyte of files.

This small script will make it much easier to switch the ingame language in Skyrim. You will have to download the localized files of the languages you want only once (maybe repeat after an update).