I think most of your questions are answered in the FAQ. 

I have done this. If i say hey sonos and give a command nothing happens.

To add to the above submitted by @Airgetlam….

Voice Control is a generic term although Sonos muddied the waters by calling their voice activated service “Sonos Voice Control”.

What you are adding is an Artificail Intelligence (AI) that is voice activated of which your choices are”

• Sonos Voice Control
• Google Assistant *
• Amazon Alexa

 * Google Assistant is not available for some Sonos speakers capable of being controlled by voice

And, further, Google has a ‘rule’ that says if their voice control system is installed, no other ones can be used.

Fortunately, Amazon and Sonos can co-exist.

If you’re still having issues, I would suggest you submit a system diagnostic within 10 minutes of experiencing this problem, and call Sonos Support to discuss it.

There may be information included in the diagnostic that will help Sonos pinpoint the issue and help you find a solution.

When you speak directly to the phone folks, they have tools at their disposal that will allow them to give you advice specific to your network and Sonos system.

I think maybe its just a delay as its now given me the option of the three. I have chosen alexa but it has been sat on 'connecting to amazon' for ages.

Shouldn’t take long to activate. You must first download the Alexa app and setup an account. Then when setting up Alexa in Sonos you’ll be asked to enter your Alexa credentials as well as activate the Alexa skill for Sonos in the Alexa app.

If you have done the aforementioned then there may be a network issue preventing contact with the Alexa server. Reboot your router and try again

Great advice thank you will try again in the morning, much appreciated.