If you can play the stream in Mplayer I think you can save it. Not sure how to do it in the GUI, but in the CLI you use -dumpstream.
To get the CLI app, show package contents on Mplayer, navigate to Resources/mplayer, show package contents on that and navigate to Mac OS/mplayer. Open a Terminal window, drop mplayer on it and then write -dumpstream followed by the url of the stream.