Are you sure your problem is with sox, not VLC? I also had problems getting a VLC to play raw sound. There are command line options, but I do not quite understand how they work.
Before looking for another tool, make sure sox is really a problem by trying something like
mplayer -rawaudio samplesize=2:channels=1:rate=8000 -demuxer rawaudio msg0001.raw
In addition, sox can be provided with an additional parameter:
sox msg0000.wav --bits 16 --encoding signed-integer --endian little msg0001.raw
But I suspect these are the default settings, so they should not be needed.
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