So... it is done!
If you all look on 95's FTP, you will see:
may_on_mayo_03_11_2008.mp3 in the "Upload" folder.
Meanwhile, for those of you who want an HTTP link, I will
temporarily be hosting the same file here:
http://www.rickdangerous.co.uk/media/may_on_mayo_03_11_2008.mp3
The file is 128 kb/s, mono, length 33m12s.
upyourego's collection of previous TG host appearances or radio shows can be found at
http://upyourego.com/topgear/audio/. upyourego: feel free to swipe it if you want. I've kept it at the same bitrate as the previous James May file. You might want to include the dates of these if possible, though; the last of the James May appearances was 14th July 2008, Richard Hammond's appearance was 23rd October 2008. I missed that one, actually, and should take a listen.
During this programme, Simon Mayo mentioned that it was possible to watch them live in the studio - though at the start of the recording you will hear here, they have a plastic cup over the webcam to conceal the identity of the Fake Sheikh. I never found a link for this on the Five Live website, but presumably it must have been possible to record that with StreamDown, Orbit Downloader or one of those other useful programs... the Richard Hammond interview turned up as a couple of YouTube videos, but I don't know if this one will surface.
EDIT: I've found the webcam link, but it isn't live video, just a series of occasional stills.