I personally find this difficult too. Especially when the speaker discusses a subject for a lengthy period of time. Previous significant others frequently told me I needed to let them finish their thought because I would speak before they were finished. This issue carried over to the workplace where bosses would give me instructions in conversation form. I frequently found my mind wandering.
I find it helpful if I kept a semi-parallel conversation going on in my head. Kind-of like if I were writing bullet points down on a notepad of the conversation but all in my head. This seemed to help keep my mind engaged in the conversation while also satisfying its need to “wander”.