Convert; Does your phone have speakerphone mode? If it does I would suggest the same; hold it up to a microphone. You could try searching sites listed here under the Mac section.
I would call up your cell phone company; see if you can access the message server over the web, or if they could e-mail you the sound file. I'm assuming they record the messages to servers...
It was for a scam baiting thing I did... I got the scammer to call me, and at one point, I said "Do you love me?" he replied "er... yes?" and then I said "Sweet!" and basically played around, lol.