The World Wide Web Consortium recently published two documents on involving people with disabilities at the beginning of development, during user testing, straight through to accessibility evaluation which may be of assistance http://u.nu/6kb74 - As a screen reader user myself, I too see value in some form of "Think Aloud" type of inquiry. If sound is an issue, have the screen reader user wear a headset.
Keep in mind that when conducting user testing with people with disabilities who require either adaptive hardware (e.g., an adapted mouse) or adaptive software (e.g., software that speaks what is on the screen) when interacting with a web page, you will need to factor in their level of knowledge on the use of these technologies in addition to their experience using the web in analyzing results. The last thing one would want is a situation where something has been built to be usable and accessible, however the fact that a user does not know how to leverage their adaptive technology or has limited experience using the web means that they may deem the page to be inaccessible or unusable. This will become more apparent as we move toward increasing adoption of rich internet applications because the way in which certain adaptive technologies interact with RIAs presents a different user experience than what is expected when interacting with a page built using plane HTML.
One final "complication" - different browsers and even browser versions, combined with certain adaptive technologies and again, different versions, may provide different user experiences and results. It is important during testing therefore to be clear in documenting: platform, browser (and version) and adaptive technology (and version).
While I've focused on the web, much of this applies to software testing as well, minus the browser issues.
Hope this has been of help.