The radio you have to put additional music in to hear anything other than the stock track. See my sig for more period music than you could ever want.
If you prefer your own music, just save it as .mp3, .wav, and/or .ogg and place them in the Washington or whatever radio station folder you may have.
For the gramophone there should be four small rectangular light brown buttons with little arrows under the first two and the last one. You have to click the buttons. The second one from the left is "Play." Again, you have to add additional music files in the gramophone folder to hear anything other than the stock track. Note also that unlike the radio, the gramophone doesn't play files randomly.
If you need more help, just ask!