If you are referring to Internet radio, then you can use recording software such as WireTap Studio ($69) and Audio Hijack Pro ($32)
Audacity is a an free open source alternative that I think will do the job too
http://audacity.sourceforge.net/about/If you are are referring to regular transmitted radio, this software can also be used to record from a sound source. Many Macs have an internal microphone, but you will probably get better results with an external - assuming your Mac has a port to connect one.
Another method would be to use an IC recorder to record the audio and then put it into iTunes.
