I do it in reverse as well. I'll burn Itune's purchases to CD's and then download them to my cheapy 128mb MP3 player I use when I'm doing something active like bicycling.
My XM Sat Radio does the downloading for me from Mr. Rock and Mr. Roll Satellites. I have close-to couple hundred commercial-free music channels plus several right-wing radio channels, comedy channels, sports, Fox News channel, 24 hour constant local traffic and weather reports, etc etc, etc, and no tech/battery problems so far. I move my single receiver (paid $449 for a 5-year subscription) from car to car to house to portable boombox. And I'm not contributing any profits to the Pinkos over at Apple.
To listen to Rush, I subscribe to Rush 24/7, then feed the program into the line-in recorder on my iAudio mp3 player a few hours after it airs, and listen to Rush on the fly, commercial-free. To each his own ...