For example, let's say the PC Goldie has just gotten his hands on a working radio set--something he's been after for a while. Of course, he gets jacked by Junker's gang on the way back to the hardhold, and now he's holding the radio while Junker has him at gunpoint. The player reads the sitch, and asks for his best escape route.

First thing that comes to mind? "Well, you could throw the radio at him and run. He'd have to choose between shooting you and catching the radio, and he'd probably choose the radio." That's an unhappy revelation, just like the book calls for.

But then I think: getting the radio was a success, and I'm supposed to let the PCs have their successes, right? It's also cool stuff, and I'm not supposed to take away their cool stuff. So is it OK to threaten the radio? And if not, what would be a better unhappy revelation (as an example)?

I think that example is totally fair game. You're saying that would be the best way to escape, but that doesn't mean the player has to take that advice. You've given him a hard choice now - take that route with its advantages, or try to save the radio but potentially suffer the consequences.

Don't just take the radio - that's lame. But making him choose is great, because if he really cares about it he won't let it go. Then maybe he'll end up getting hurt or put in a tight spot or coerced into doing something nasty. If he keeps choosing to save the radio over everything else, don't take it away unless he really fucks up (i.e. a big string of failures). If he chooses something else over the radio, that's on him. And if he keeps protecting it and succeeding, you are obliged to let him use it and make it useful - after all, he worked hard for it.