What you want is a recorder that reads from /dev/dsp. I've had success with rawrec, and sound-recorder. Just be warned, these only work in a terminal, and they're difficult to use.
I suggest you do a google search for sound recorders that read from /dev/dsp.
Also, in audacity, you if you select "Vol" as the input source, it will record anything that's played through your sound card (although the sound quality isn't nearly as good as rawrec).