If you right-click on a single song, and choose More Play Options -> Play As Radio you will avoid the pop-up and the "radio" will use that song as a seed, so that (in theory) the songs that follow will be similar in some way to that first song. If you skip some songs, then the radio algorithm should skip songs that are similar to the skipped song.
Personally, I like to have the option of the pop-up dialog since you can limit the songs that Radio chooses from using the "Edit Radio Files" search wizard.
I do agree the radio could use some fine tuning, such as allowing saved searches (as "stations" per se) and specifying what fields are used in the algorithm, so that for example a custom field could be used as part of the algorithm. As it is now, I still prefer to spend an extra minute to make a quick playlist rather than use the radio feature. I spend more time trying to get it to not irritate me in the long run...
-JB