What is a webhook and why is it better than polling?
With an API your system asks: has that message arrived yet? With a webhook it is turned around — you are notified as soon as something changes.
Why that is better
Without a webhook you have to keep asking. Ask every minute and you make hundreds of useless calls for every one that yields something. Ask every hour and you find out too late.
What you need
An address on your own server that can receive a message, and that is always reachable. That last point is underestimated: if your server is briefly down, you miss the notification.
Two things to get right immediately
Answer quickly — process afterwards, not before. A slow confirmation leads to repeated attempts.
Expect duplicates. On a network problem the same notification can arrive twice. Make sure your processing can handle that, for example by remembering the message id.
What you use them for
Delivery statuses and incoming replies. Exactly the two things you want to know about the moment they happen.