The website of BBC 4 provides online access to a considerable number of audio interviews with famous artists.
Examples:
Francis Bacon who talks to David Silvester about the glazing and framing of his pictures.
Anthony Caro (e.g. about the creative process of sculpting, his interest in painting and his thoughts about the definitions of sculpture).
Helen Chadwick
Tony Cragg (e.g. about his interest in mega molecules, structures and science).
Lucian Freud
Elisabeth Frink (e.g. about making sculpture, her working method and why she makes a series of a single subject).
Antony Gormley (e.g. about his working method).
Barbara Hepworth
Richard Long
Bridget Riley (e.g. about pictorial space, the renaissance painters, Mondrian and Francis Bacon).
Andy Warhol (e.g. about portrait painting, his choice of subject, his process).
website: radio interviews BBC