I haven't recorded any internet radio for a few years but when I did do it, I used a combination of RadioTracker and Audacity. RadioTracker is much more sophisticated for recording internet radio than Audacity or Nero Wave Editor. It can be given a list of radio stations and it will simultaneously monitor and download songs from those stations, breaking them automatically into mp3s with tags as it does. With a program like Audacity, you can only record from one station at a time. It's recorded as one long stream and you have to break the recording up into separate songs and enter all the tag info manually.
I would set up RadioTracker to record for x number of hours and then go to bed. The next morning I would wake up with hundreds of new mp3s, complete with tags. I was using version 2 of the software (now at version 10) and I would use Audacity to cleanup the beginning and end of the songs where the software didn't quite get things right. I imagine version 10 is much better at it now.