If you want to record what you play with Cutupsampler, you can direct its audio output into another application that is capable of audio recording.
Cutupsampler works with applications that support ReWire. To use Cutupsampler as a ReWire client, choose "ad_rewire" from the "audio out" menu. In your host application's list of ReWire clients, you should see an entry labeled "Cutupsampler".
The first time you use Cutupsampler as a ReWire client, start Cutupsampler first, then start the ReWire host. This allows the ReWire host to recognize Cutupsampler and register it in your computer's list of known ReWire clients. Next, close both programs and open the ReWire host; then, open Cutupsampler. This allows Cutupsampler to recognize the ReWire MIDI device, for sending messages from the host to Cutupsampler.
More information on ReWire:
Soundflower is a free Mac OS X program by Cycling74 that allows you to route audio easily from one application to another. See Cycling74's website for details. If you are unable to, or do not wish to use ReWire then I would suggest Soundflower as an alternative for recording. With Soundflower installed, you can set Cutupsampler's "audio out" box to "CoreAudio Soundflower (2ch)" and set your recording software to use the same virtual device as its input.