If you run the wires to the battery the radio will work with the key on/off. I always wire them that way so you can listen the the radio without the cart running and the key off. I have heard some guys say that there batteries were going dead on certain radios when the cart sits for a few days without running. I've never had this happen. I guess it all depends on the radio. The memory wire (if equipped) will have to go to + on battery if you want the clock and presets to stay in memory.
Also be sure to have a fuse in any hot/+ wires as close as possible to the power source.