It's not intended. If you look at the template
app/design/frontend/base/default/template/checkout/onepage/shipping_method/available.phtml which shows the available shipping methods, no additional blocks are loaded and there is no kind of hook to change the HTML either. You would have to replace this template and implement something on your own.
Another possibility is to add custom fields to the shipping_method form that are not related to a specific shipping method, in the block
checkout.onepage.shipping_method.additional. Unfortunately this one doesn't render its children by default, like I would expect from an "additional" block, but this requires only little change:
echo $this->getChildHtml() at the end and replace it in your modules layout XML file.