You're pretty much out of luck if I'm following your problem correctly. The iPhone isn't able to pick up radio stations --it's not equipped with an AM/FM receiver (or at least Apple hasn't unlocked the capability in the device). Therefore, the only way to listen to live radio is via your network connection (Edge, 3G, WiFi).
If you're guzzling too much data when streaming, there's somewhat of a workaround. I use the "TuneIn Radio Pro" app, which allows you to record live radio from within the app. It's certainly not ideal for your situation, but if there's a particular program you listen to, you could simply record it while you're in a WiFi hotspot then listen to it later offline.
Just make sure you use the 'pro' version of the app. I don't think you have the functionality to record in the 'free' version.