So I was playing it earlier and closed out of it properly, but even now I can still hear the game in my headphones. Not the music just the SFX, am I just going crazy?

Might not have shut down properly. Open up task manager and make sure it's closed in the processes. 
 
Or you could be crazy.

You're definitely going crazy.

" You're definitely going crazy. "

make REALLY sure the process is shut down ... I had the same thing every time I shut it down and it always was the Civ5 process in the taskmanager.

Civ has slipped into your consciousness. Don't fight it, just do as it tells you.

"I have some advice for you"-Do not fight it.

Civ 5 is trying to plant itself deeper and deeper into your sub-conscious. You just have to accept the fact that you are going crazy.

yea it's just you, went to sleep at 4:30 am last night...morning?  i was seeing hex blocks in my dreams, civ is just getting burned inthere.