I remember that there are three types of speech. I will quote Wikipedia on this one:
He laid down his bundle and thought of his misfortune. "And just what pleasure have I found, since I came into this world?" he asked.
He laid down his bundle and thought of his misfortune. He asked himself what pleasure he had found since he came into the world.
Free indirect speech:
He laid down his bundle and thought of his misfortune. And just what pleasure had he found, since he came into this world?
I am new GM and have trouble figuring it out. I don't know how to do this - if I speak for the NPCs (so, direct speech), it feels more immersive to me, but at the same time I have a problem - should I try to "play" the character? I feel a bit stupid then (but maybe I shouldn't) - if I shout "YARR" as the pirate, and then change my voice to some old lady who asks for help; moreover, this feels somehow wrong. Not playing with voice may introduce ambiguity.
Reported speech on the other hand feels redundant. "He something", "she something". More than that, it also feels less immersive; reported speech puts distance between character and reality, or so I feel.
Free indirect speech shares same points as Reported speech, but applies to monologues.
How should I do this?