There's no UI option to change the voices easily in Sonic Lost World. The only way to do so, is to select from the language option in the Steam settings. However, this forces the text to switch as well. (I.E Japanese has both Japanese voice and text. Same applies for other languages that can be selected.) I've made it easier to have Japanese voices and English text, that way, you don't have to spend half an hour configuring it, and it would only take less than 5 minutes.

1. Download the SLW Mod Loader[github.com]
2. Extract the SLW Mod Loader into your game director ( "C:\Program Files (x86)\steam\steamapps\common\Sonic Lost World" or something like that)
3. Patch the game
4. Download the modified files: https://mega. nz/#!Uv5A2ALa!c_Z1nz9LUyfK52dj4nwbQ1lZ6pO1BtY3IbU7EuIut3k (Remove the space from the link)
5. Open File Swapping.zip and extract the "File Swapping" folder to the mods folder. (You get the mods folder from patching the game)
6. Open the Mod Loader and it should be there. If not, refresh.
7. Check it to enable it and click save.
8. Set the language option to Japanese (Right click on the game in library, properties, language)
And that's it. Enjoy.