If you wire to the ignition for the lighting they will be on permantly, a common thing to do with the lighting is to splice into the clock wiring as this has a lighting feed. This leaves you needing two lives for the oil temp and pressure, each of these use the applicable senders for the earth connection.

You can use any good earthing point for the bulbs.

The feed you can do as you say and splice into the switched radio feed it is probably yellow on your car and red is the permanent live where as on modern cars it's the complete opposite of this or another option is to take the feed from the clock as well.

Martin