Replay AV allows to record audio streams from mp3 radio stations. It also supports many other streaming audio and video formats. Even if your player doesn't support the recorded format, you can convert your audio files after capturing them automatically. You can also add your recordings to iTunes.

How to convert your recordings to mp3, m4a, m4b (and add them to iTunes) after capturing audio streams with Replay AV

• In the Replay AV open the Properties window for the show which files should be converted after capturing.
• Select the Basic tab. Select the format you want to convert to (such as mp3, m4a, m4b,...) in the After recording, convert to combo box.
• Select the Output tab.
• On the Output tab check Add to iTunes library if needed.
• On the Output tab mark the Keep copy of the original file after converting check box (if you wanna keep the original recordings).
• On the Output tab check Delete shows over x days old and enter the number of days if needed.
• Click the OK button.

Depending on a format you want to convert from, you might also need to change the DirectShow options of the Replay Converter

• Launch the Replay Converter
• Hit the Options button. Hit the Audio conversion options button.
• In the Audio Conversion Options mark Real (.ra),... and Other checkboxes to use Direct Show when converting from these audio formats.
• Hit the OK button. Hit the OK button.

Another tutorial:
How to Capture Video and Add it to Your iPod touch or iPhone with Replay AV