"Radio" is more correct but I have no problem using either.

What does bother me is when someone says they can't program their "radio" when they should use "transmitter". Or some other such misuse of the term "radio". That said, It's not worth having a cow over either, just makes it harder to understand what they actually mean sometimes. Example: "I'm going to change the crystal in my radio, is this legal?" Answer varies depending upon which component he is changing the crystal in.