If I remember correctly, NeoLemmix queues the sounds while calculating physics during a frame, then plays them at the end.
A fix should thus be as simple as, before actually playing the sounds in the list, remove any duplicates. (This is what's actually happening - the sound is being played multiple times when multiple lemmings exit in the same frame.)
@Nepster: If this doesn't help, let me know and I'll take a look at the actual code.