escobar,
To record your training is an excellent idea. Recording your performance is a well known technique used by top performers in any number of occupations from soccer players to aerobatics pilots.
You didn't say it was a sim initially, and I think that has brought about some of the replies regarding legality. However legal or not, if you can safely record your performance in training and the recording is ONLY USED BY YOU to critique your own performance and improve upon it for next time I cannot see any trouble with it. Be it in the sim or in the air. There may be a law against listening to ATC transmissions but for heaven's sakes its completely unenforceable because anyone who is going to abuse it is going to do so regardless of there being a law or not, it only hurts those who would use it legitimately.
All the best in your training.
splatt
PS. How about something like this? Found through google:
http://www.aircraftpatchcord.com
From AircraftSpruce (big supplier to folks who build their own planes) Search for Part number 11-00692