You can save the audio to listen to later inside the app offline. You cannot download the audio to your device.
If you download an audio, that audio will be available for you in any moment, even when you don't have internet connection.
To download an audio:
Tap on the three points icon on the right side of the audio that you want to download.
It will appear a popover with multiple options. Select Download to listen offline
The audio has been downloaded into your Tonto app and you can access it from Account screen > Settings> Downloads