Use iTunes. iTunes is Free! Just copy this RSS link, click the advanced menu in iTunes, select Subscribe to Podcast..., paste the RSS link in the URL form and click OK. You are now subscribed directly to my feed.
Don't want to use iTunes? Try Juice, a free cross-platform application (formerly iPodder). Just copy this RSS link and add it to Juice.
If you use iTunes to catch your podcasts, now you can subscribe to The Key Grip using iTunes v4.9. Click on the podcast link in iTunes and search for The Key Grip and hit subscribe.