If you're like me, your company doesn't allow for listening to internet radio stations at work. So I looked for a way to record the radio on my Mac and, of course, there's a great free app called “Radio Recorder” that does just that and goes the extra mile — it will split the songs and tag them with the information provided by the feed, and then import them into your iTunes library in a designated playlist. This works with some stations but not all. For example, with WOXY it works great (too bad it's only a 64k feed) but with KEXP it does not. I guess it's dependent on what's available in the stream. It works with most ShoutCast feeds.
Definitely a must have app. I'm sure there's a Windows app that does a similar thing.
One rub though, if you use the split song feature, it won't always grab the song at the beginning. It grabs it when it receives the new song data, which might also cut a song short. So you won't have perfect mp3's from the radio, but it's better than nothing.
I think a nice option would be either a single file with chapters as new songs or code in some overlap — copy 5 seconds of the last file as the beginning of the next file and the same with the end.