If you want to make podcasts of radio shows to listen to later you have several possible methods:
1) Connect your PC sound card to a regular radio and record a show as it is broadcast.
2) You could just use the BBC Listen Again iPlayer service, and listen to an audio stream over the internet - so you need a computer or internet radio device.
3) Or for a few shows download an official BBC podcast in mp3 format
4) Use your SkyPlus or Freeview+ PVR (Personal Video Recorder) to record radio - just select them from the EPG - audio recordings take a tiny size on the hard disk - but these are not exactly portable.
5) Use a program such as Radio Downloader to turn streamed audio into an mp3. See this thread for some others.
6) Use a tool like Anubis to record radio en masse - then later playback or create MP3 files of individual shows. Highest quality - and most flexible once setup.
Very worthwhile if you are radio4head (or radio7head) and if you have a PC that you leave on - say like a media PC.
(If you have a PC on running skype you can use that - but may need to add another sound card).
Update: some other useful sites and possible methods:
http://www.iplayerconverter.co.uk/ - access iplayer shows in the older RealPlayer format
There are various tools to save the audio you are listening to - eg Ask Tool Bar or Audacity the powerful Free Audio Editor and Recorder
A blog celebrating intelligent talk radio, mainly Drama, Comedy and Documentary output from the BBC Radio 4 and BBC Radio 7 ... Also reviewing broadcast capture tools such as Radio Downloader and other methods such as the amazing Anubis podcast making/timeshifting audio archive tool.