When do you think it's on? The BBC website is less than clear about this. I suspect it's weekly Sat afternoon on Radio 4 and then repeated on 4 extra, but that's not quite what the feature page says.

"Neverwhere begins with an hour-long episode at 6pm on Saturday 16 March on Radio 4 and continues with five 30-minute instalments stripped across the week on Radio 4 Extra from Monday 18 March."

Julian Bond - looks like it's playing on Radio 4  at 14:30 on the 16th : 

http://www.bbc.co.uk/radio4/programmes/schedules/fm/2013/03/16

and then on Radio 4 Extra at 18:00 on the 17th

http://www.bbc.co.uk/radio4extra/programmes/schedules/2013/03/17

My plan is to schedule it to record using TuneIn Radio Pro, but I expect the episodes will be available to stream like many other BBC shows.

Paul Linder that was my plan as well to use the tunein app on my phone to record each episode