So far, the only soul to be consumed by the Guards is Hans Frollo, who was given a "one in five millions" chance to escape, yet ultimately experienced death beyond death when he attempted to do so.
The Hell Guards are the shadows that surround Hell's outermost parts that prevent unintended access and departure from Hell. If someone attempts to escape, the Guards promptly shroud the victim in darkness, before clasping them and draining their soul, leaving their body to rot, which finishes them off for good.
In Leet Fighter 6, Kneesocks informs Bison and Guile that: "consuming those who dare death is their rule!" She also goes on to say they have existed before any angel or demon, before Guile realizes her hair looks like a sea wave, and promptly zones out on it.