Open your remote desktop application and click on "Show Options."

On the top, select "Local Resources" and then go under remote audio and click "Settings."

You may now choose your options for audio on the RDP service.

Now remote into your server and look at the bottom right corner and right click on "Sounds."

Windows will prompt you to enable the Windows Auto Service, click yes.

You will then be prompt with the Sound window, the default device will now be Remote Audio. If you see this then you have done the task properly.