As herbfargus says, usually best (and easiest!) way is to use a capture card.

This gives a pointer to trying with RetroArch though if you want to try it
http://emulation.gametechwiki.com/index.php/Recording_Video

So basically starting it from the CLI (not an option in RGUI)
More info here:
https://github.com/libretro/RetroArch/wiki/FFmpeg-recording-and-live-streaming#lossy-and-flexible-coding-config