Is it possible to record .swf files?

Google is your friend.

Enjoy

1. Saving Flash files from Firefox

Firefox for Newbies
a. Click Tools - Page Info
b. Click the Media Tab on the Page Info Windows
c. The media tab has a complete list (with preview) of Images, CSS Files and Shockwave Flash files that were downloaded by the Firefox browser while rendering (loading) the page.
d. Scroll down the list and locate the swf file.
e. Click the "Save As" button. Select some directory on your hard drive and save the file (No need for a third-party plug-in)

Firefox for Geeks and Power Users
a. Type about:blank in the Firefox address bar
b. Now click List cache entries or directly type about:cache?device=disk (Disk cache device)
c. Press Ctrl+F and try to location the flash file by typing some part of website URL or the flash file name or just .swf. After some hit and trial, you should be able to locate the swf file URL
d. Click the SWF URL to open the Cache Entry Information page. Right click on the link and choose "Save link as"

2. How to save flash in IE browser

a. Click Tools - Internet Options
b. In the General Tab, click the Settings button available in the Temporary Internet Files group.
c. Click View Files to open your Temporary Internet Files folder. Depending upon your IE settings, the Temp. folder can contain tens of thousands of files.
d. Click View - Details. Now click View - Arrange Icons By - Internet Address. Depending upon the webpage, there could one or more Flash files (Shockwave Flash Object) under the Inernet Address.
e. Once you find the right flash file, right-click and choose Copy. Then paste the swf file in any other directory. Be sure to
keep the page and IE open to avoid purging of the cache file.

For newbies, I suggest the following approaches:
1. Get a download accelerator like Flashget and tell it to automatically download the shockwave extention (*.swf)
2. Or download a free IE plug-in for saving flash files.

3. How to save Flash files from Opera browser
Just like IE, Opera stores the flash files in the browser cache.

there are also some handy swf to exe converters available as well.