For the less experienced users (like me) this is another way:

With the web browser, go to the site of the radiostation.

Open the .pls/.m3u file from the site, the mediaplayer starts playing the stream. Go to "Now Playing" next to the back button and press "Add radio bookmark"

Another way is to create a .pls or .m3u file and get it on the device via USB. Put it in documents for example and then use file manager to open the file. Bookmark and you're done.