First off, you don't say what your car is, that would help!
The radio loom for you car should contain both a permanent live and a switched live. If it's a mk2, you may have to have a rummage around behind the radio to find this, as it's not in the main loom.
Once you've found the wire/s you need, you can either strip back some of the insulation, and solder directly to it, use something like a scotchlock (a bit of a bodge in my opinion), or you could cut the wire, then re-connect it with an inline crimp, but including the new wire in one side of the crimp. If you're going to use crimps, I recommend you invest in some decent ratchet crimpers.
Hope that helps.