I'm being unable to finish the 1st lesson of http://greatscottgadgets.com/sdr/1/ successfully. The example runs, but instead of being able to capture the tuned radio station, I only get noise. GNU Radio companion keeps printing audio underrun erros.
I'm using GNURadio on a Kali VM on a Mac OS X i7 with 16Gb
Underrun means that your audio device is not getting the samples per seconds it needs. Maybe it doesn't support the sampling rate you configured it to, maybe your VM is just running too slowly (audio emulation in VMs is especially problematic).
You should try using GNU Radio natively. GNU Radio has a live image that you can put a DVD or USB stick and try out natively.
Also, try different audio sampling rates in the audio sink (you will need to adjust the audio rate/decimation in the demodulator, too!). 44100 works best, typically.