말씀 is a respectful version of 말. You use it when referring to words coming from a senior person that you respect.
말을 듣다 can also mean following someone's advice or acquiescing to them, in addition to simply listening to what someone says. 말씀을 듣다 is used mostly in the latter sense.
자하쳘을 갈아타다 means changing subway trains (갈다 = to change/replace). It's a general statement of going from one train to another with no specifics, so you use 을.
4호선으로 갈아타다 means switching TO Number 4 Line, indicating the result of the change. So you use 으로 to express the specific destination.