Not to beat the AM/FM issue to death and I am not throwing stones at all. Being as pax's rarely listen to pre-flight briefing anyway and the use of portable electronic devices is confusing this one would be easy to misunderstand, especially as some CD players also have a radio. To make it worse SWA sometimes mocks the pre-flight briefing ("yada yada ya" or "you know this anyway") which I find childish.
But bottom line is that it is illegal. Here is good link to explain it:
http://www.house.gov/transportation/aviation/hearing/07-20-00/frenzel.html
We must ask that you never use the following nonapproved equipment during flight: cellular phones, two-way pagers, radios (AM/FM or VHF), TV sets, remote-controlled games or toys, a cordless computer mouse, and commercial television cameras. These devices may interfere with the aircraft's communications and navigation systems."