Hit 'Restart',  make sure the audio cable is fully inserted into your device's headphone jack, and make sure your device's headphone volume is turned all the way up. If you still have difficulty, try customizing My Pal Scout/Violet using a different smartphone, tablet or laptop computer. 

Note: This answer applies to the new 2014 version of My Pal Scout which has the LeapFrog logo on the ear and comes with an audio cable (rather than USB cord).