I'm very interested to hear a good solution to this problem as well. It's come up many times in these forums, and the best lead I've found was suggested by a Don Foy, among others:
"The program you are looking for is called Snapz Pro 2, from Ambrosia software. Cost is $40. See it at http://www.ambrosiasw.com/Products/SnapzPro.html
I finally found someone to loan me a copy, but I'm sorry to say I think my Pismo 400 MHz is too slow to play the .rm file at full speed while recording it as well. I tried giving realplayer 10 MB of RAM, and turning off virtual memory. I don't know if there's any other way to improve performance. Anyone?