Sound cannot travel through the vacuum of space, but visible light and other forms of electromagnetic radiation can. One of these forms is commonly called radio. The astronauts have devices in their helmets which transfer the sound waves from their voices into radio waves and transmit it to the ground (or other astronauts in space). This is exactly the same as how your radio at home works. Radio waves are often thought of as a form of sound because of their use in this way, but radio waves are NOT sound waves - they are a form of electromagnetic radiation analogous to visible light, and therefore can propagate through a vacuum.
