I think it was initially playing the messages, then that moved into using him on the show for things like movie reviews, the football picks, etc. If memory serves, Daniel probably never was a listener (don't think Stern was broadcast in Georgia), though I think he did probably see the E! show. He may listen now, though, via satrad.
I think Daniel played along a lot because initially it meant an uptick in sales of his KKK merch whenever they talked about him.