In general, 1 (heard someone say) is the normal way to ask the question: I heard him say that he didn't want to go. = I heard him say this sometime in the past.
3 is possible, but "saying" often implies that somebody is saying something at the moment you ask the question: Do you hear him saying that he doesn't want to go? = He is saying this at the moment I make the remark. Do you hear him?