It actually depends on your set design.  Normally the scrim is a 1/2 stage that  goes in front of the orphans in the orphanage prior to "Never Fully Dressed" reprise.  The radio set is on one side of the stage and the orphanage is on the other side (normally the radio station is stage left and the orphanage is stage right).  You can put light behind the scrim so you can see the orphans listening to the radio show, then fly the scrim as soon as the radio performers leave the stage and send the lights to full.  This makes for no break between the radio station version of "Never Fully Dressed" and the orphan's reprise.