Exactly for radiowaves, some sort of low-resistant material (metals for best results) close to body surface, with it's size as close as possible to wavelength of signal. Maybe, dipole antenna shaped.. antennas on their heads, with copper rich nerves?
Problem is, well, three problems.
1) Radio transmission and recieving. If recieving is relatively simple, transmission - not so much. Due to certain magnetic field laws, field strenght is divided on cube of distance - for unfocused emitting. And to focus radiowaves, you need something alike to satellite dishes or even more complicated antennas. So, issue is that they need a lot of energy to emitt comprehensible message. Can they have really, really keen senses? They can. But then, second problem arises.
2) Noises. Stone brick lets Wi-Fi through. Dense tree crown kills it without remorse. If we imagine that your species have really, really sensitive nerve systems to recieve even faintest messages, we end up with other problem. On our world living species haven't developed radio-recieving capabilities, despise of such waves abundance being similar to light - because radio range is unreliable. Light is almost entirely consumed-reflected by leaf. Radio wave - reflects and goes through at the same time. On a sunny day, you will be blinded because of sun radiation (yes, in radio wavelengths) flooding your surroundings, partitially reflected, particially going through everything - even air provides some resistance. Imagine living in a world of a bit smoky lenses and prisms, and trying to see your neighboor in it. On a cloudy day, EMP burst of a thunderstorm will burn any sensitive apparatus just like blastwaves make us deaf, and flashes of light - blind.
This sun and storm problem becomes less of a problem if they live underground, that's right. But this gives us even bigger problem.
3) Radiowaves sit between sound and light on wavelength scale - and they travel through hard matter with bigger success than light, but with less success than sound. In fact, raw, timid soil will easily eat your radio signal - just like sheet of grounded metal does.
It boils to question - aren't sounds better? They travel reasonably fast and really far through hard substances, and are much more reasonable to transmit - just tap the floor.
By the way, don't forget that known nerve cells tramsfer a hundred of pulses per second at most - so radiowaves are in no way densier as data carriers than sound for organic reciever, unless such species develop really, really wide range of antennas - or their nerves work on different principle, which is carte blanche on many, many fronts. They might be more metallic in nature, since arthropoids don't need to bend them much, which makes their nerve system into wide-range antenna while not even needing centralised brain - since body can be directly controlled from outside. Which, otoh, will be major vulnerability to exploit in conflict.