I`ve looked at a lot of websites regarding how a hearing aid work but none of them told how the sound waves were involved in depth. Like what happens to the sound waves in the microphone, amplifier and speaker. Could someone explain this to me.

Answer 1

In the microphone, sound waves (a mechanical wave) converts to electricity in a pressure sensitive device: pressure waves become electrical. They are amplified, and in the speaker, they are reconverted to a pressure wave, usually nowadays with a small crystal transducer.
http://health.howstuffworks.com/hearing-aid1.htm

Answer 2

Thanks :)