Answer
While chanting the Hare Krishna maha-mantra, your attention should be on chanting each mantra clearly, and your conscious awareness should be on carefully hearing every mantra that you chant.
However, while listening to a Srimad-Bhagavatam lecture, the situation is different.
At that time, your complete attention should simply be on hearing. That is the only activity you are meant to perform. There is nothing else that requires your attention.
Therefore, while hearing Srimad-Bhagavatam, focus wholeheartedly on listening attentively to the speaker and absorbing the message. Single-pointed hearing is itself the devotional practice.
