i use to keep coco in an exercise pen when he was a puppy. i always leave coco with a kong filled with his favorite things... i.e treats, kong fillers, chx meat, doggie cookies, etc. it keeps him occupied at least until i'm out the door. sometimes it seems like he's happy to see me go because of the kong!
he would jump into the ex pen when he sees me with the kong.
i leave the radio on as well. and try to drain his energy (i.e go for a walk in the morning) to get him tired.
i know exactly how you feel. it breaks my heart to leave him... it was especially hard when he was a puppy. it's like leaving a baby by himself! but don't worry about it too much because he'll end up sleeping most of the time anyways.
good luck!