Welcome to the forums and congratulations on a nice radio! That was my first piece of B&O 
I'm currently composing an antenna FAQ but it won't be ready for a while, so here goes... these Beomasters actually have an FM aerial built it, but it looks a bit like an afterthought with the wires and the plug dangling out from between the case - and the actual plug is often missing. See the pic, that's how the plug should look like, and it should go into the red connector (you may have a late version where the connectors are a bit more modern, let us know if that is the case).
I'm afraid you can't buy these plugs anywhere, so unless somebody has one lying around, you'll need to think of something else. This kind of socket will actually take regular 4mm banana plugs that are still often used for (non-B&O) speakers.
For testing, you can just take a couple (or even one) of ~1 m pieces of wire, strip one end and fix it in the socket with whatever means you can (with a small piece of cardboard, rolled up paper, or something) and lay them out on the wall behind the radio. It won't be any worse than the internal antenna would've been.
The AM antenna is a different story if you need that.
