[zaga_fan]

I wouldn't recommend doing it live unless you have some experience with it.

Pre-recording it allows you to edit stuff out and if you do phone interviews they can be a lot more streamlined. An awkward silence can kill what you're trying to do.

I wouldn't get a headset though - I would get a USB condenser microphone and go from there.

Audacity is a good little program (and free) to record audio.

I've recorded radio programs in a pinch as voice memos on iPhone.