I think DezB is being a bit naughty about the Minidisc thing, I’m not entirely sure how you’d get music from disc into iTunes without third-party software. Sony’s proprietary audio format for Minidisc is DRM’d up to the eyeballs, you can only make a single copy of any given disc, for starters.
Something like Audio Hijack is what you’re after, an app that can record streaming audio and save the files as AIFF, AAC or MP3 files. I used to use Wiretap, but it’s no longer available, sadly.
I don’t know about Audacity as a streaming audio recorder, I’ve never really used it, and it has it’s own little idiosyncrasies, apparently.