Here’s a technique that works well if you’re intentionally trying to develop aural comprehension skill. You need an audio source with text, so generally either (a) a recording that has an accompanying transcript (I use this for Gaelic with a 5 minute podcast that comes with transcript), or (b) a text for which a good audio recording has been made (for Latin there are quite a few good recordings of poems/letters/etc., which come to mind.
Step 1: Attentively listen to the audio.
Your goal here is just to understand as much as you can. If it’s totally incomprehensible then there’s probably some factor making it too difficult (accent? text? you’re not ready for this particular text?). You’re not trying to recall everything, and definitely don’t try and transcribe it (a different skill and a different task).
Step 2: Read the text
Now it’s time to pull out the text. Depending on your level and the text’s, this might be extensive reading, or it might be intensive. Reading will help make sense of what you heard. My suspicion is that the previous listening doesn’t contribute very much to how much you comprehend reading, but the reading does to the listening.
Step 3: Back to the audio.
So now you go back and listen attentively to the audio. You should understand a lot more this time! There’ll be things you can more accurately ‘pick out’ and recognise, and overall your comprehension will improve. You probably won’t understand everything, and you will feel like there are things you just read that you can’t quite remember while listening. Don’t stress, just listen and seek to understand.
And that’s it! Simple, effective, a good way to use audio but leverage it with written material.