The most common and most likely answer to this crossword clue is the 8 plus 2 letter word SWITCHED ON
I've seen this crossword clue in The Guardian
S
W
I
T
C
H
E
D
O
N
Buddy explains!
The straight part
We know that "Now listening to Radio 4, say/with it" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case now listening to radio 4, say/with it = switched on.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.