To add to this, the sound they all have in common is called Palatalization (when your tongue is raised up and as close as possible to your teeth), and it's a major defining feature of Slavic languages. It's also what makes them sound different from cz, ż, sz, rz, and n, which are "normal" and not palatalized. Ś/SZ are the most obviously different - like "Shh!" vs. the first S in "Sure", with an English accent.
One of the tricky things about Russian is that, a lot of the time, you have to memorize all kinds of rules for whether or not a consonant is palatalized. Polish literally spells it out for you 100% of the time!
I think that it's actually more common to omit "czy", but both versions are perfectly natural. It will probably sound more formal if you put it.
"li" actually existed in Polish as a suffix (e.g. This sentence, if I am right, would be "Słyszyszli tego konia?"), but it is definitely dated, if not archaic, nowadays.