When we first use brainwave entrainment, we may not have anything specific in mind that will happen, but we hold a general expectation that “something” should happen. As we begin the process of entrainment we are on high alert looking for any little indication that something is happening. Pretty soon we identify some feeling or twitch or unusual perception. The moment we focus on whatever it is, the act of focusing on it magnifies the thing. Since we were already viewing the situation with an expectation that it was the entrainment that was going to produce some sort of result, we automatically associate whatever our phenomenon is with entrainment.
To get a full answer you should really get in touch with the owner of the app, because it does really depend on how their track is constructed and how they intend it to work. I have one 50-minute sleep track which takes you down into delta (http://www.mindamend.com/shop/sleeping-and-dreaming/sleep-induction-isochronic-tones/) and that is designed to just get you to sleep, so you just let play until the end. If you played that track on repeat it might make you jump and wake you up, as the track begins at a higher frequency. I have another 8-hour sleep track which is meant to be played all throughout the night (http://www.mindamend.com/shop/sleeping-and-dreaming/deep-sleep-8-hour-sleep-cycle/). So it does depend on the individual track you are using.
The effects are strongest while you are listening to the tones because your brainwaves are synchronized and tuned into the frequency range you desire at that time.  After you've stopped listening the effects can still linger for a while afterwards.  The timescale will vary from person to person and be affected by what you do after you've stopped listening.

The advice “take a deep breath” may seem like a cliché, but it holds true when it comes to stress. For centuries, Buddhist monks have been conscious of deliberate breathing during meditation. For an easy three- to five-minute exercise, sit up in your chair with your feet flat on the floor and hands on top of your knees. Breathe in and out slowly and deeply, concentrating on your lungs as they expand fully in your chest. While shallow breathing causes stress, deep breathing oxygenates your blood, helps center your body, and clears your mind.
... Audio visual stimulation effects people on two levels: Budzynski (2001) reports significant improvement of mental capabilities after AVS in 75-year old male. Cruceanu and Rotarescu (2013) proved that the exposure to 30-minutes of audio-visual stimulation with the frequency of 10,2 Hz significantly improves cognitive skills. Based on their research, authors claim that people need to be exposed to AVS at least for 20 minutes in order to achieve positive effects. ...
Delta brainwaves have the slowest frequencies, ranging between 0.1 and 4 hertz, and these are the brainwave states associated with deep sleep, trance states, and unconsciousness. Few people can remain awake during delta brainwaves states, although this state is recorded in awake infants between ages of three months and one year and also in babies just before birth. Delta waves are also linked with increased production of HGH, DHEA, and the neuro-transmitter serotonin.
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I was raised on a farm, and in my youth I dug enough fence post holes to last a dozen lifetimes. My father used to joke that he gave me that chore so that I’d have lots of practice and get good at digging fence post holes. From a pragmatic point of view, the purpose of digging all those post holes was really not so that I’d become a better post hole digger, but so that I could plant posts in them. Once you dig a post hole to the correct depth you don’t keep on digging, trying to make the hole fancier or more aesthetically pleasing. You stick a post in that sucker, tamp the earth back in around it so that the post is secure, and then move on to dig the next hole.
Experts haven't figured out why having your body pressed and prodded works wonders, but they know that it does. Studies suggest massage can speed up weight gain in premature babies, improve lung function in asthmatics and boost immunity in men with HIV. If you can't indulge in regular full-body massages, treat yourself to the occasional pedicure, manicure or facial—all nurturing, hands-on treats that offer some of the mind-body benefits of massage. 
Just so, when you reach a state of meditation you don’t “keep digging”, so to speak. The hole has been dug. All that digging has done what it was meant to do. Once your technique has gotten you into meditation, STOP DIGGING! You’re there. If you keep digging you will frustrate your ability to remain in meditation for any significant period of time. Only resume your chosen technique if and when you slip out of the meditative state. If you’re human then you WILL slip out of that state again and again. Don’t worry about that. That’s how the process works for all of us mere mortals.

At Gaia Meditation, most of audio programs including free relaxation music, free sleep music, free meditation music etc. use the technology of brainwave entrainment (or “brainwave synchronization”) with powerful binaural beats and isochronic tones. Our audio tracks utilize pure and precisely tuned sound frequencies which will drive your brain activity (consciousness) into your desired state: Gamma, Beta, Alpha, Theta or Delta.
Group exercise or encouraging stressed clients to find a workout partner is an excellent idea because it can provide a support network and accountability. However, there might be clients who find a group setting intimidating or competitive, which could be counterproductive in managing stress. In addition, those who report stress because of work or family obligations might enjoy the solitude of exercising alone. Using a variety of exercises or nontraditional exercises (e.g., exergaming, dance classes, yard work, or rock climbing) is a way to plan activities that are enjoyable to maximize adherence. Knowing your clients’ exercise barriers and stressors will help with planning an exercise program that can address these variables to maximize the benefits for health and stress management.
Gamma waves are the fastest brainwave frequency range. Gamma brain waves are believed to link and process information from all other parts of the brain. A high amount of gamma wave activity in the brain is associated with intelligence, compassion, focus and feelings of happiness. High levels of gamma brain waves have also been linked to improved memory and an increased sensitivity to sensory input. Low amounts of gamma brainwave activity have been linked to learning difficulties, poor memory and impaired mental processing.
^ Bittman, B. B., Snyder, C., Bruhn, K. T., Liebfreid, F., Stevens, C. K., Westengard, J., and Umbach, P. O., Recreational music-making: An integrative group intervention for reducing burnout and improving mood states in first year associate degree nursing students: Insights and economic impact" International Journal of Nursing Education Scholarship, Vol. 1, Article 12, 2004.