I got that I can record an audio file with OneNote app.
I am wondering where it is saved once I recorded it and eventually how I can pick it.
I have a lumia 920 with wp8.1.
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The recordig is being saved within your OneNote document so there's no way to access it through the file explorer (neither on the phone nor when conencting it to the pc).
When your document is synced to the cloud you can either download your audio file by opening the web-version of OneNote or by extracting it through the desktop version (for both right-click => save as...).