I had the same problem with gnome-sound-recorder in fedora core 2
The menus came up fine, it accepted a file name, and didn't crash or anything when I clicked 'ok' to
save it. Yet there is no file present in the directory (or anywhere else).
My solution was to go get audacity. I did it using yum with the following command
yum install audacity
where I was using the yum.conf file I've been using for a while, provided from
http://www.fedorafaq.org/#installsoftware
It just doesn't get any easier than that.
Audacity worked perfectly the first time, and is a really nice, well designed tool for doing this stuff!!