Yes, we do. We say it the same way we would say "old" or "cold" or "fold."

We certainly do pronounce it, but it's very important for you to realise that an 'l' before a consonant doesn't sound the same as an 'l' at the beginning of a word, or an 'l' between two vowels. The 'l' also lengthens the vowel sound to 'oh' rather than 'o'. Go to one of the many online dictionaries that have an audio function, and listen to native speaker pronunciation (either US or GB) of these two words: sod sold They are clearly very different, aren't they?

Moustapha: the "l" in many words is blurred to the point of not being pronounced in an audible way at all. Sold is a word which tends to permit pronunciation of the l. The same is true for old, bold, told and cold. Other words however, such as could, would and should, begin to sound more like "cood, wood, or shood".