First, go to Web on your phone and go to honeyball.com/radio. Tap on the station you want to listen to and a tiny 'playlist' file will be downloaded. Tap on the .pls file in the dialog and you'll immediately be listening to the appropriate live radio stream.
Once playing, tap on the 'Add to favourites' icon to be able to play the station again whenever you like without messing around even grabbing the .pls file again. Tap on the back icon and repeat for each BBC station you want and Bob's your uncle.... 8-)
Hopefully, Nokia will add these station streams into the main directory at some point and then things will be even simpler!
PS. If you don't already have Nokia Internet Radio loaded, then see here!