actually using a camera? How do they do it??

They use screen recorders, they're very useful for me too. Google it and you can probably find out more than I can tell you.

I think that they connect the recorder to the machine or TV and record it directly

thier phone...some have game demo video clips...

Special equipment, like the kind used by games mags for capturing screenshots. All the ones I've seen are obviously filmed on a camera.

its called a game screen recorder. go to these websites in order to get em. the instructions are there after you download these recorders. (they take up like less than 5mb.)http://fraps.com/http://planetgamecam.com/i prefer game cam cuz you can record as long as you want.

They probably plugged their game console into their DVD recorder, and then the DVD recorder to the TV. This way they can watch what's happening on the TV as it's going through the DVD recorder. Then they simply record on the DVD recorder from the video source the game is connected to.Once they're finished, the finalize the DVD, then take it over to their computer. Rip the DVD using something like DVD Shrink or whatever video editting software they're using, re-encode it, and then upload.