I think by VOA you mean Voice of America. I don't know if their broadcasts reach Hong Kong, but they do have a website, and you can find out there, I am sure.
I don't think you have to write down what you hear, but if there is something in particular you want to remember it would certainly be helpful to you if you write it down.
You can get more information about the VOA here: www.voa.gov If you have any questions for them you can email them at: EMAIL REMOVED - Send PM to This User Instead You can get information such as the frequencies at which they broadcast at the website. (VOA broadcasts in 55 languages, including Mandarin and Cantonese.)