However these are not the actual files but links to them. iTunes automatically creates a folder called 'Voice Memos' where it stores your actual voice memo files.
If you want to find those files so you can do something with them, you can find where they are stored inside your comp this way:
6- Open up a new window of your hard drive (outside of iTunes) and type 'Voice Memos' in the search bar at the top of the window to see where they are kept.
When you look at the very bottom of the window it shows you where the files are actually stored - and which file is inside which.
It's usually inside the 'Music' folder, then the iTunes folder is inside of that, then inside the iTunes Music folder you should find the actual 'Voice Memos' folder that contains your files.
You'll notice that voice memo files are in the .m4a format.
7- If you want to convert them to .mp3 or .aif files, you can do that in iTunes, just as you would with any other music file.
Here's how to do that:
A- Go back to iTunes,
B- Go to the very bottom of the left menu to your Playlists Section (not the 'Devices' section this time).
A playlist called 'Voice Memos' should already be there. Click on it and you should see the same files that are on your phone. Select the ones you want to convert.
Now go to the iTunes menu bar at the top, where it says Advanced and then scroll down and select "Create (MP3) Version".
A duplicate file will be created that will be located in the same location as the original. (If you want to create an AIF or WAV Version instead, you can change that in Preferences.)
Here's how:
Make sure you're in iTunes. Go to the top menu bar where it says iTunes/scroll down to Preferences and when the window pops up, under 'General', look for the button that says; "Import Settings" and click on it (see screenshot below):

Once you click on it the import settings window will appear:

Where it says, "Import Using:" you can change the setting by pressing down on the bar and scrolling down till you find the file type you want it to become (AIF, WAV, etc). and hit 'OK'.
Now go back to your Voice Memo Playlist again and select your .m4a file (don't double click it).
Then repeat what you did in #7, but now it should give you the option of creating the type of file you just told it to "Import Using" in Preferences.
Hope that helps!