Can I save Radio 3 plays

I can figure out how to listen to a Radio 3 play by sitting in front of my computer, but I really want to be able to save it onto my MP3 player and go and sit on a more comfy chair in the lounge.

Does anyone know if it is possible to do this? They're doing a Shakespeare season and there's several I'd like to listen to, but not sitting in front of the computer screen for a couple of hours!

The play I want is at:

http://www.bbc.co.uk/radio3/dramaon3/pip/3kj9v/