What we do is we firstly record the sound of the place we are at such as a gig and the bands playing and crowds cheering, we then save this to the computer and pull people aside and interview them about the gig or whatever it is they are attending, after doing so we save that to the computer aswel, we then combine the two sounds and turn the volume of the background noise (our first audio file) down so when it played on radio it seems as if the interview was being done during the gig.
The piece of equipment we use for this technique is called a Maraudes recorder.
Also when conducting an interview we can do it live on air, we generally interview local bands and soetimes we even get them to play an acoustic set right there in the studio live on air.