I assure you, JAC is not turning into another one of those vintage-radio blogs.
However, in scanning the wonderful internet archive, of which I wrote earlier, I found something really keen: It is a great industrial film from 1938 about how radio shows are put together.
"Back of the Mike" shows how the actors read their dialogue, how the sound effects are created (this is especially interesting), how the music cues are added, and other elements -- all live as you hear it.
There are many commercial movies of the time that give a hint of how all this was done -- "The Big Broadcast of 1937" (1936), "Genius at Work" (1946), etc.; but this short film focuses exclusively on the creation of a radio show, with no other plot to get in the way.
You will find this film here. You can choose to watch it via streaming video, or download different size files.