Projecting from n dimensions to m dimensions is a relatively simple process. My favourite doodle since childhood is the classic hypercube projection onto 2d. Visualising simple 4+d objects, such as the higher-d versions of the Platonic solids (the regular polytopes) isn't too bad (once you've spent several years working with them), but in general one uses projections to understand and visualise.
However, it may surprise you to realise that you haven't even begun to visualise 3d spaces! Take the surafce of the Earth, a 2-sphere as we call it... it's a surface and hence 2d. But try and visualise it without using 3d space into which it can be embedded? You can't. This doesn't mean that a 2-sphere is 3d.
Now imagine the 3-sphere. It's a 3d space so imagine yourself inside it. You can float around, but if you float far enough in any 3d direction you eventually get back to where you started. So what does this space look like? To visualise it, you need to imagine it embedded in 4 dimensions. But the space itself is still only 3d.
This is why sci-fi wormholes (Deep Space 9, Farscape, etc) are always depicted completely incorrectly. The artists have looked at our drawings and used them directly without realising that they are dimensional reductions because a wormhole is a 3d object that can't be simply visualised. Winds me up no end