It very much depends on how your radio is wired up. A typical car radio takes two feeds from the battery; switched live and memory live.
Switched live is usually attached to the ignition switch and powers the radio up when the ignition is switched on. Memory live always takes a feed of power from the battery and is used to store things like the current time, radio station presets and the position in the CD you were listening to so it can be resumed.
Some people prefer to have both switched and memory permanently live so that the radio will continue to play music when the keys are removed from the car. Others have them setup so that the radio only plays music when the keys are in the ignition. Indeed certain manufacturers; Kenwood in particular, provide plugs in their looms so that the configuration can quickly be changed.
If your car radio won't play music unless the keys are in the ignition then switching it off when parking will not make any difference to the battery drain. However, if your radio is wired to continue to play when the keys are removed then do switch it off to prevent excessive battery drain.