When I was in college I had a car that I had the radio be hot all the time. Had an auto reverse tape deck. Was in a hurry one day, got to school, parked in the sea of cars, and rushed off to class. Aparently the tape was at the end, I forgot to turn it off. A couple of hours later went back out to the lot, and walking towards my car I heard familiar music, thought "Someone''s got some good music really cranked up" and then I got closer and realized my car had been rattling its windows while I was away. I imagine there are a lot of places you could tap into to get the always on 12V. If it were me, I'd hook up the always on 12V through a switch so that you could kill power to the radio to turn off the clock and get the fake theft deterrent blinking LED. There are various switches available that fit in the spot on the dash to the left of the steering wheel, where the little coin holder is (and the hatch release if you have the power locks option) You could even get a "double throw" switch that connects it up as normal in one position, and throw the switch and you get always on radio. Probably also a good idea to add a fuse to whatever you tap in with, just to be safe. Ragingfish has advocated these add a circuit fuse tap things, plug in to the fuse box like a fuse, but hold a fuse and have a wire coming off. Something like that might be useful for you, but make sure you get the size that fits in the slots for the tiny fuses these cars use.
http://forums.genvibe.com/zerothread?id=5396 has a pinout diagram for the radio. Pin B2 is the Ignition voltage for the radio, supposed to be a gray wire. You'd want to cut that and connect the radio side of the cut wire to your constant 12V (or add switch ) Be sure to insulate the car side of the cut wire, if it shorts out you lose power to the 12V outlet in the dash (same fuse as radio)