You can also record every sound that's outputted from your computer with i.e Audacity. However, I'm not entirely sure how/when/where it works since I've seen computers that can't record it entirely. My guess would be the soundcard or something. But both my computers can record outputted sound with audacity. For me, I just have to change the recording-system to ALSA:default. But the quality is bleh. Don't know why.
If you're using VLC to listen to internet radio, you can just have VLC stream it to a file with the codek and all of your choice.
Open VLC, and go
File -> Open network stream
In the bottom where it says Customize, paste in the url of the stream. Then mark off 'Stream/save' and press Settings.
Mark off 'File', and write a filename and location of where you would like it to be recorded. Now, you CAN dump the raw input, but that's just a waste of space, so don't do that. Mark off 'Play locally' if you want to listen to the stream at the same time.
Choose OGG as the encapsulation method, mark off audo codec, choose vorb and your desired bitrate.
Now press 'Ok', then 'Ok' again at the previous screen. Tada.