Before you start changing the lights, check that you need to - if you've turned the dash rheostat down a fair way, the radio's illumination will stop completely.

This caught me out a couple of times, until I realised what I'd done.

If you're changing the lights for cosmetic reasons (?) most car radios use a central light source with optic channels to the buttons - usually a clear plastic conductor.

You're likely to find the central source behind the LCD display.