"I feed my recorders (a Zoom H2 and a Marantz PMD620) from headphone outputs all the time. It results in much, much cleaner audio than you're going to get by pointing your voice recorder's mic at the speaker."
Pretty much the only way I do it, too, unless the receiver has a line-out jack. Biggest problem I've had is getting the volume control on the radio set at the proper level to feed the Minidisc recorder with, but not high enough to push the radio itself into clipping (VERY easy to do with my police scanner and the Yacht Boy!) Thankfully the Minidisc machine has a record-input volume control, which I can set at a relatively high level to compensate for the shortcomings of the radio equipment.
The best current practise for me involves feeding the Minidisc box off the line-out of an F1HD. Still need to figure out how to convert the F1HD to run directly off a battery, though.....