I've been recording radio for years now - and one of the best PC applications I've found that does that is StationRipper. It can record internet radio, record Last.fm, and download Pocasts (and it downloads the album art for each song.). It records all the songs the stations play and splits them up into a MP3 with JUST the song, titled by the band and song name. You can export the info to iTunes, and save the MP3's to your iPod (or any MP3 player you'd like - you can do whatever you want with the MP3's!). It also can record iTunes radio.
I've been using it for over 2 years now, and it's amazing. There's a full functional free version, and the $19.99 version will let you record as much as you want (no subscriptions, per-download fees, or any other payments, ever!)
I bought the $19 version, and regally download over 3000 songs every 16 hours or so.
Check it out