I don't listen to the show, as I don't live in the Portland area. I don't know what kind of small animals they say they enjoy killing, but if they are talking about rodents, you should consider the amount of damage they do before you pass judgement. (I have to admit, taking pleasure in watching them take their last breath is over the top.)
Rodents consume/destroy millions (perhaps billions) of dollars worth of grain and agricultural products, such as alfalfa, each year. They can be shot, trapped or poisoned to reduce populations, reducing the damage they cause. Poisoning, and to a lesser extent trapping, kills other non-targeted animals such a birds and snakes. Shooting them provides food for other animals; such as hawks, buzzards, foxes, coyotes, skunks, snakes, etc.
If they are talking about killing tweety birds and the like, they should be caned on the courthouse lawn. If they are killing destructive rodents, I find it hard to criticize for that, even though I don't care to participate in that myself.