This book, co-written by Ira Glass and Jessica Abel will tell you how.

Radio: An Illustrated Guide gives you an inside look at how This American Life is made. But even better, it's a step-by-step primer on how to make a radio story. The book includes detail on where we find our stories, how to structure a story, how to do an interview, how to hold the microphone, how to edit sound, how to write a script...really everything you'd need to get started. It's 32 black-and-white pages long, with appropriately fancy color covers, and was drawn by cartoonist Jessica Abel and written by Jessica and Ira Glass.
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