I would like to improve the audio in my shortwave receiver. I would
like to find a device that I could plug into the headphone hole in the
radio and my headphone to the device.

The type of device I am looking for should have filters and work in SSB.
To help cut down on static, radio and noise. And if it has a tone &
tuning button that will be good too.

How does this work and what could I use?

SR!