I think this question is related to “Where do you get your ideas?”
I was asked this by an editor I wanted to impress recently and I had to say "I have no idea the heroes just wander into my mind". Yeah, that sounded cool. It is however the truth. The hero, usually, just appears and starts dropping enticing hints about his world or his problem.
Seriously when Haidyn from Dark Secrets turned up in his lovely red coat and said he was a whore I just went, na-ah I can’t write that. Needless to say he stuck around until I did.
When the Goblin King arrived I just knew he had dreadlocks. Random, yes, but it was so much a part of the story in the end that I couldn’t imagine him any other way. (I know he doesn't have dreads on the cover but trust me by the end you will get it).
I guess I see and hear the characters in my mind, but most of the story is impressions that I give voice to, sometimes it like watching a film without sound—some scenes are so clear there is sound.
Other times I'm running around in the dark wondering who turned out the light and where is this story going, only to pop out on the other side with total understanding and a new appreciation for the hell I put my characters through (it’s for their own good, really, and not one has complained yet).
Once their story is written that is it, they leave me in peace and new people populate my mind.
I'm pretty sure non writers don't get it. When I get asked what I'm thinking about there's a dozen different things going on, like the heroine's backstory, how does the magic in this world work? Is the hero good at sport? Should I have another piece of chocolate? The heroine seems a little lost...is this about her self discovery? That is a very cool scar Mr. Hero, how did you get that? Oooh *shiny new hero walks past and flashes a grin* who are you? He brought wine! Plotting party in my head! I should totally have another piece of chocolate.
Where was I...I listen to my characters and they tell me stuff, yes I know it's my subconscious but it's kind of cool that all of that is in there just waiting to come out.