HOWTO: Last.fm + Mac + Airtunes/Airport Express
After playing about with that method for a while and having iTunes drop the stream from the last.fm client over and again I decided to spend £15 on Airfoil. Much better solution and works to send any audio from my Mac over Airtunes to my stereo.
If you have an Airport Express you can shove your audio from the last.fm client through to iTunes and then across to your Airport Express.
Step 1.
Go to last.fm > Preferences > Radio and set a port for the client to stream on.

Step 2.
Quit the last.fm client and restart it.
Step 3.
Start playing the radio.
Step 5.
Right, now hope over to iTunes and go to Advanced > Open Stream… and punch in http://localhost:23456/ and select OK.

Step 6.
Rock on with your bad self.
Well, at least until iTunes drops the stream… grrr. YMMV.