I have recently started using the radio and this is when it turned out that switching between radio and mp3 player is not very convenient.
My proposal would be an option to have radio as the most recent link in the Most recent list. From one menu you could start either this or that.
Also long pressing home should lead to this menu from everywhere. Thus you could easily find yourself on in the device's menus and for example switch off the radio when you get lost - without the need of taking the player off your pocket. It would take long pressing home, right, and up. Likewise with stopping the mp3 player would take long pressing home, down, right, up.
Dead simple