If you procure an audio message on your own iPhone, you’ll get a Messages notification, the same as you would for a regular text message. When you open the conversation in the Messages app, the audio waveform of the message will appear with the message transcript underneath. To hear the message, either tap the Play button to play it on your speakers, or hold the phone up to your ear for private listening. You can also swipe left or right on the audio waveform to fast-forward or rewind.
If you want to quickly reply to an audio message on your own, just lower the phone after listening to the first message, then raise it back to your ear. A tone will sound, after which you can record your message. When you’re done, tap the upward arrow to send it.
As with sending an audio message, you’ll need to tap the Keep button that appears after playing a received message if you want to save a copy, otherwise, it’ll be deleted after two minutes. You can also save a separate copy to the Voice Memo app by pressing and holding on the message and tapping the Save to Voice Memos option.