There are two primary entry points for ESD, the supply line and the antenna. These lines are commonly protected by Transient Voltage Suppressor (TVS) diodes and voltage dependent resistors called varistors connected between the signal line and ground. These function in different ways, but both become conductive when the voltage on the signal line rises above a threshold. During an ESD event, they shunt the current to ground, preventing it from getting into the radio.
When using an embedded antenna, this is generally not a concern. However, the line should be protected when using an external antenna. The transmitter output power will dictate the working voltage. The diode or varistor should be low capacitance so as to not affect the RF tuning. There are many devices marketed for antenna protection that meet this requirement.
The power supply line is more general because it does not have the low capacitance requirement. It is important to realize that ESD can travel through voltage regulators and bypass capacitors with enough energy to damage the radio. It is a good idea to put a TVS diode on the power line of the module even if there are other components between the module and the power input.