Uwe, you've just hit on something that I've been looking into for about a week or so, now. I'm replacing Meedio on my HTPC with MC and I'm having problems with Internet radio streams, too. It seems that Media Center resolves all the items in a playlist and stores them under the name of the playlist instead of just saving the playlist itself and resolving all the items when the playlist is played. For "normal" media, this makes sense because it allows MC to stay current if you move tracks around on your hard disk. For Internet radio streams, though, it doesn't work too well. I listen to quite a few Internet radio stations and almost all of them offer a playlist which contains from 1 to 5 streaming servers. Sometimes they change those servers (I don't know if they do it based on load or cost or what). The way Media Center functions now, I don't pick up those changes and have to monitor the contents of the playlists myself.
One thing I will say: 11.1.184 addressed one of the problems I encountered right away and that was that the track info pages didn't reflect when the streaming station changed tracks. I reported it in the morning and the fine folks here at JR fixed it in that day's build! With that change, my Theater View correctly reflects the track information that's provided by the streaming stations.
Oh, and to anwer your question, I've created a playlist group called Internet Radio and then create a playlist for each station and add each URL. The way I do that is to do File -> Open URL, enter the URL for the stream (either the playlist or the individual stream). That populates Playing Now. From there, I can do one of two things:
1) drag the items from Playing Now to the new playlist or
2) select all the radio station's items in Playing Now, right click to bring up the context menu and select Send To -> Playlist -> Create Playlist ...