There is no direct way as the headphone cable in used as the antenna during normal use, when docked you can't fit headphones in so there will be no antenna and no antenna means no signal. I personally haven't seen a 3rd party solution but if anyone else has I would be interested to see it as I would like to listen to the radio through the iPod's speaker or a dock.
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How do you listen to the iPod otherwise through the speakers on the base station? L