I definitely talk to myself a little bit (under my breath) while taking the GMAT. I always try to keep my volume low, however, and my proctors never said anything about it.
In fact, the only time during my GMAT Online exam(s) that the proctor spoke to me over the computer's audio output is when I (unconsciously) placed my hand near my mouth / chin area for a moment. That's a big no-no, as is looking away from the screen (
unless you are looking at your whiteboard, of course), which I learned the hard way when my 1st attempt at the online exam was cancelled by Pearson Vue test security for that very reason.
Having taken both the At-Home GRE and the GMAT Online multiple times now, I will definitely admit that Pearson Vue's test security and proctoring is more strict than that of ProctorU. That being said, it's nothing to worry about, as long as you keep your hands and your eyes in the right places.