I used the exact same method as the one you mentioned. I recorded myself for about 15 minutes repeated "You are dreaming, don't wake up from the dream" yada yada. Just make sure your voice on the CD is relaxed and a smooth tone. The volume on your CD Player Alarm Clock should be set loud enough so you hear the CD in your dream, but quiet enough so it doesn't wake you up!
Also, make sure the clip of your voice is LONG! If it's only a few seconds in length, I guarantee you'll sleep right through it, or perhaps you won't even be dreaming when it goes off! I suggest the voice clip is at least 15 minutes long. You will also need to adjust the volume, so everything is perfect. If used correctly, this is an excellent method for lucid hopeful's when all else has failed.
xox Victoria.