In audio terms called foldback or monitor level. Aircraft headphones "fold back" a little of your mic audio so you hear yourself as if the headphones weren't on. Makes speaking far more natural. I am using Skype quite a bit with headphones and it is difficult to speak without hearing myself. My search of posts and the web did not provide an answer. I scoured the Skype app and did not find what I was looking for there.
Cell phones are by now notorious (and their users despised) for having that same deficiency. So it comes, sadly, as no surprise that VOI lacks it, too.
Had the same problem, OS X doesn't have a built in functionality for this, but I found a little free app that does exactly that: https://www.macupdate.com/app/mac/11333/linein
Transfer post to Skype for Computer: Windows message board.