Make a little patch cable out of a couple of BNC connectors and a 1-1/2 foot length of RG58.
Get a few of those bulkhead mount BNC splices. They are female on both ends so you can 'splice' two male-ended cables together.
Get a nice piece of aluminum L-bracket. I have a source of some real nice ones from my work, but you can get some L-brackets and angle aluminum from Home Depot or another hardware store.
Drill 2 or 3 holes in the L-bracket neatly. Put the bulkhead splices in there and tighten them down. Mount the L-bracket near your radio in a convenient place.
Put your antenna lead-in on one end, and the patch cable to the radio on the other end. If you places 3 splices like in the picture, then you can have 3 antennas on it, and just choose your antenna at will.
That way, you don't ever have to mess with the antenna connector on the back of the scanner.
All the stuff mentioned is available all over the place, including Ebay. Don't waste your time at Radio Shack. All they care about is selling you a cell phone contract.
I included some pics to help illustrate.