AFAIK you can't according to this extract from iTunes Help
"Tuning into Internet radio stations
You can use the radio tuner to listen to MP3 files that are streamed to your computer over the Internet............ You can't record or save a song from a radio broadcast, but you can add your favorite stations to your library or to a playlist so you can tune in easily.
So it looks like you could create a playlist containing the new radio i.o. adding it to the existing function, easier than scrolling through the all library.