On my Mac, I use WireTap Pro and ZTerm. I've got an iMac G5 with a built-in modem (unfortunately, I don't think Apple sells the older iMac G5s with the built-in modems) so I use a splitter going from the line to my phone and my computer. With that:
1. I mute my built-in speakers to prevent echo.
2. I open WireTap Pro and ZTerm.
3. I pick up the phone, then type "ATH0" on ZTerm, then I use WireTap Pro and hit record.
4. I dial the number and do everything as normal.
5. When I hang up, I stop recording on WireTap Pro, save the file, and then go to ZTerm and type "ATH1."