Since most radio's are designed to be connected directly to the battery they can handle the loss of voltage at starting, if concerned one of those BIG stereo caps will ease out the voltage drop.
I do however have a rely in mine to allow me to switch the action of the radio. I have a 3 position key switch that drives the relay coils. In position 1 the radio follows the ignition, when the vehicle goes off the radio goes off, After the vehicle is started the radio comes on. in position 2 the radio is in valet mode and has no power applied to any of the radio. In position 3 the radio stays on regardless of the ignition switch.
Most of the time its in position1, If the vehicle is in for service position 2 and if I am going to be using the radio for a period of time with the vehicle off it will be in postion 3, I do a number of ARES/Skywarn events and spend several hours with the car off and radio on.
Dont forget you need fuses on both sides of the vehicle firewall.