I haven't actually been able to find any information about this, I know LIGO insulates against certain types of EM radiation but I was wondering about radio waves in particular. Can anyone help?
I think it is likely there was not much to worry about from space or other radio waves. I have not found anything, but have not done the calculation. You can start by comparing what it might do compared to noise sources they needed to deal with.
Because it had to detect distance changes of 1/10 the size of the proton even small perturbations had to be dealt with.
The electromagnetic perturbations were mostly from the laser light imparting momentum to the detectors, and the scattered light adding random phase fluctuations. I saw something also about 'radiation' noise, and not sure that involved radio noise. See a summary of the effects in the advanced LIGO summary page at https://advancedligo.mit.edu/summary.html. More on the effects from electromagnetism (the laser) below, but first a bit of the physics of why. See also the main site at http://ligo.org/.
I'm sure you know the basics, but to be semi-complete on the why. The detections are based on very small deformations of space where orthogonal directions from the waves are alternately compressed and expanded, what is called a quadrupole mode. The two orthogonal legs of the interferometer will then involve light which travels less or more in one leg that the other, and will add vectorially at the detector, and due to the phase changes the resulting amplitude and intensity will change. These are converted into electrical signals and processed. Thus, anything that could possibly also move the detectors or mirrors along the two legs can cause a false a alarm (nothing else can change enough the distance along the two legs, only gravitation can), and any un-correlated movement in just one leg still represents noise. The signal processing is pretty interesting but that's not the question. And they needed to eliminate random fluctuations as well as non-random signals that are not due to gravitational waves e.g., they ran them in a vacuum so air or thermal fluctuations moving the air would not happen. Also they needed to isolate out the tidal effects from the sun and moon (even though different frequencies, just too loud).
The main source of competing inputs into the detectors is of course from seismic motion, i.e., ground movement. Trucks, other vehicles, and a myriad sources such as machinery and ground effects or vibrations can be stronger than the gravitational waves, and need to be suppressed. The team spent a lot of time and energy doing all this, including hydraulic isolators, a 4 pendulum suspension system as well as active cancellation (detect and counter or subtract). Of course, any changing mass variations near the detectors also needed to be suppressed. There were plenty of other noise issues.
Electromagnetic signals could also transfer momentum to the mirrors and detectors, though much smaller than the seismic noise. The laser light itself used for the interferometer transfer momentum to the mirrors and detectors, and scattered light causes random fluctuations (it is basically random scattering and the resulting random noise). The lasers themselves also have phase, freq and amplitude noise fluctuations. All of those were minimized through design. Part of the design was to have the largest baseline they could get consistent with the gravitational wave wavelength -- the longer the arms the larger the signals, but noise tends to stay the same. [eLISA, a space based interferometer, planned for the mid 2020's, will have 1 million km legs, and be looking for larger wavelengths, that is larger sources of gravitational waves]. In LIGO they also used massive mirrors and detectors to minimize motion from the extraneous momentum imparted to them.
Figure out the momentum from the laser 4 kms away, or the incident energy, and see how some estimates of radio sources powers compare. For reference, radio waves from wireless antennas typically will arrive at about -100 dBm (plus or minus depending) if you're a mile or two in normal terrain. Of course after all the scattering they probably will be random, weaker, and not directional. Inside a building mainly if they used metal in the tunnels it would be infinitely or so less. Space based radio waves will be much weaker, from anywhere anytime.
I've seen a couple of talks where they specifically talk about this. My understanding is that they don't particularly "insulate" against radio waves (although the metal structures likely do a good job regardless), but they certainly monitor for them. They have a huge number of different EM sensors along the beams at each site --- so that if there is any large EM signal they can simply exclude that section of data.
Especially with only 2-dominant detector sites (the 2 US LIGO sites), Atmospheric sources of correlated interference are a big concern (along with geological effects). Apparently one of the things they've explicitly worried about is types of atmospheric or orbital military tests that could produce significant correlated interference between detector sites --- which is part of why they include EM sensors across the spectrum. Additional detector sites (e.g. VIRGO and INDIGO) will significantly help alleviate both seismic and EM concerns.
While I really like @BobBee's answer above---it's a good one, it does neglect the effects of EM interference on the electronics, i.e. producing a signal without physically moving the test-masses.