I heard it years ago, and Dr Anthony Claire repeated it a few times as his most interesting guest, because it was the one person who he could not understand; he felt there was something underneath this guy's façade, but could never break it. It was a fascinating listen.
Dr Anthony Claire had a series on Radio 4 (BBC) called In the Psychiatrist's Chair. He would get celebrity guests in and give them a real thorough psycho-analysis session to try to get under their skin and learn something about them they have never revealed. It's not like a tabloid type of show-and-tell, but a lot more interesting and revealing.
I've got about 30 of the episodes from the BBC iPlayer, that I grab as they are broadcast. They include Spike Milligan, Stephen Fry, Ruth Rendell, Oleg Gordievsky, and a bunch of others. A book or two was also published with the transcripts, and one of those did include the Savile interview.
Here is an article about the interview
Edit: just bought the book of the interview from Amazon for a penny. There is a cassette tape for twenty quid, but I'm not clear what it contains. Just listening to the Stephen Fry episode. Did you know he used to shop-lift as a kid? The analysis of why is fascinating.