The double speed listening exercises really help with this. After listening to those, everything on Radio Cymru slows down!
Also, I play other things that I am familiar with at double speed. I download them onto my phone or laptop and change the speed settings. So last thing at night, I listen to children's stories yn Gymraeg, such as Mog the Forgetful Cat or the Three Little Pigs at double speed. Sometimes I listen to pieces from Welsh classes at double speed too.
As @pollypolly says, it's useful to know place names in Welsh too. That way, you don't spend ages trying to work out what the verb 'to Llangefni' means. Dw i wedi bod yn Llangefni doesn't mean I've been llangefni'd, although I think it sounds quite plausible to me
I listen to Radio Cymru most days - well it's on in the background. I find the more I actually try to intentionally listen/translate means that I understand less, because I get stuck on a particular word, by which time I miss the rest of the sentence, which would have given me the gist of what was being said.
Also, it's handy to know what items are coming up on the news. I used to think that this was 'cheating', but now I think it just helps to recognise what the stories are about. This makes them easier to understand - you just have to fill in the words between Theresa May, Carwyn Jones, David Davies and Brexit - and you can probably guess those anyway!