They saved the file on sdcard > CastBox > channels > xxx > yyy

xxx is folder of channel usually the unique number of each channel, yyy is file name. But, they stored it without extention of the file, so you cannot play it.

Trick to play it, just rename the file name. Add extention .mp3 on the name.
Example: filename= 24234234
Rename it to 24234234.mp3