It absolutely works. Take some time to listen to different parts, all over. You'll get a sense of what sounds typical, and what just ain't right.
Its helped me diagnose stuff with impressive accuracy a few times.
Sounds nasty. It does sound like there could be an exhaust leak. But also sounds like a heavy mechanical knock.
Grab yourself a 2' long extension bar or 2' long screw driver.
Hold one end against different parts of the running engine, wrap your fist around the other end, rest your ear against...