While hearing music through radio in my Lumia 525 I tried to save it but didn't find an option to save a song that is playing in radio. How to do that?
You cannot save songs played on radio service. It's a feature not available on WP (and probably on every mobile platform). Also, you cannot record the sound directly from the system, i.e. you are not allowed to record a song into a .mp3 file.
What you can do? You can have the song recognised by an app, like SoundHound or Shazam. Personally, I'd recommend to you the second one, because it clearly provides a way to check what song you are listening to. How? By using the phone mic to capture the sound from your earphones or speaker (not totally sure about the speaker). This way, you can check the songs aired on your radio station and then download them (even if I think that using Spotify would be better).
Credits to this answer go to the people who commented on my former answer, improving it a lot.