You can listen to them in the inventory screen reserved for them, that's what I always did.
I saved all the little sisters - but I have no reason to go and play the game again, that's for sure. And so I shan't, methinks.
Oh, and Devil May Cry 4 ain't bad at all, especially when you get past using Nero and get into using Dante. Nero isn't as bad as a Raiden, per se, but just as the young punk who stole Metal Gear away from Snake - Nero can't compare to the original gangsta, but even though that's the case, at least he's not as whiny and unbearable as Raiden was. Nero is pretty cool, and this is coming from a guy that gets tired of hearing Jonny Yong Bosch in every game/anime/whatever I happen to come across (which may not be the case, granted, but it sure feels like it).