On mac os 10.10:
audio messages received on mac os desktop are stored in ~/Library/Messages/Attachments and have a .amr extension.
You can hence find them via Terminal, open them in Quicktime and then export them as audio file for portability.
If you prefer going trough the interface, in the Messages window, on the chat you've received the audio message, click on 'Details' in the upper right corner. A small gallery containing the attachments for the chat is showed. Find the audio message (a music note icon similar as the one in iTunes), right click on it and choose 'Open'. The .amr file will be then opened in Quicktime and you can export it.