Here’s a cool video from @muppetmasteruk that covers the process of using audio files within Moodle quizzes.
The Moodle filters will automatically create a browser-based player for audio files (you can also accomplish this with flash and other video formats for a more interactive quiz.
Note that you could also create non-question description areas where you can insert the audio and then ask several questions subsequently by using the Description question type. Additionally you might consider embedding content from 3rd party sites, including YouTube videos into the descriptions of question or the descriptions question type for your students to review before answering a series of questions. The Description question type is ungraded.
Once created you can manually place page breaks within the quiz by adding page breaks (find out how many you need by dividing the total number of questions by the number of audio question sections you have). Manually move page breaks to match your sections (see image below).
Access the video directly at this link: http://screenr.com/pnx