My experience is that higher priced dimmers ($30+) are better in terms of reducing static on the AM radio. The static is a result of the solid state switching and more expensive dimmers incorporate a filter.
Dimmers work with a solid state triac. When the triac turns on, it puts a pretty large spike from the sudden turn on, and this in turns rings the wiring radiating through all the wiring in the house. Unfortumately commercial AM radio is very low frequency and the nature of impulse noise is detected in the radios causing the static.
Short answer, use a quality dimmer with a good RF filter that uses a fairly large coil aka choke.
Occaisionally we receive a service call on one of the houses we wired indicating that when a regular wall switch, or fan speed control is switched on, or between speeds, there is a very loud "POP"! This happens on motor-loads, and some flourescent lights. We check all connections, and grounds, and find all is good. It appears that some sub-woofers are prone to this. We've tested a neighbors different brand in the same house with no effect. We changed the fan, the switch, (even to a very high priced product) with no success. It's hard to convince a homeowner that his new product is at fault. Is there a filter or something that we are missing?
If the dimmer is on a circuit which is producing net current due to a misconnection of a neutral, the frequencies will be transferred to the entire circuit. The remedy in that case would be to find the wiring error and fix it. Neutral may be connected to a ground somewhere in the circuit or to another neutral from a separate circuit.
In the case of a three-way switch circuit, if you are using 2-conductor travelers you will have a net current. (Net current means the hot and neutral are not carrying the same amperage). You cannot shield a net current magnetic field with metal. No effect.
Look at the back of your radio for the AM radio antenna connection. One of those indicate ground. Bond it to your water line if it is properly bonded to the electrical service. Has done wonders for me in the past.