Normally you'd put commas before and after "country radio" because it's as though you're addressing this entity known as "country radio," and a direct address like that is usually set off by commas no matter where it falls in the sentence. Here are a few other examples:
"Thank you, Mary Ann, for your help."
"Thank you, America, and God bless the USA."
"Thanks and best wishes for a great year, Jeff."
"Gentlemen, start your engines."
So traditionally a direct address is set off by commas no matter who or what is being directly addressed and where that address falls in the sentence. You are absolutely right that headlines tend to be quite lax about such things as commas, but I'd still recommend using them so long as space allows. So if you have room for the little bit of extra space that commas before and after "country radio" would take up ("Thank You, Country Radio, For..."), my suggestion is that you use the commas. They help make the meaning of the sentence clearer, and clarity is at least as important in a headline as in a regular sentence.