Radio waves are electromagnetic waves. When used for communication, radio waves are turned from sound waves into electric waves and back into sound waves.
To communicate using radio waves, sound is converted using a microphone that turns sound waves into electronic waves. According to the National Radio Astronomy Observatory, this electrical wave is "analogous to the original sound wave," which is then amplitude modulated (AM) or frequency modulated (FM).
After the conversion process, the sound must be sent to a frequency transmitter, such as a radio broadcast tower. These frequencies are then picked up by your radio's antenna and turned back into sound waves, which you hear through your speakers.