Method 1
In the Reflector 4 Preferences, if you have "Show Client Name" set to "Always" or "Hover", you will see the option to start recording at the top of the mirrored image on your computer.
Method 2
You can also record from the Reflector 4 menu. Once your device is connected, simply open the Reflector 4 menu and press record.
Method 3
You can also use key commands to begin recording.
Mac: Press Command + r to begin or end a recording.
Windows: alt + r to begin or end a recording.