I did it once.
http://www.youtube.com/watch?v=pcZvFKynm50
Just played a demo, ran fraps for however long the demo ran, then watched some TV. Chucked into vegas and just rendered without anything special, really. As you can see, the quality isn't the best. I'd recommend bandicam (premium if possible) as I was able to get better quality & filesizes on later recordings.
My syncing of the audio is a little bit off (maybe a few hundred ms) but not noticeable enough to make a difference.
If you were to do a bunch of demos it'd probably be a fair amount of effort. But if they're separate files it's no doubt a lot easier.
EDIT: dxtory probably works fine too I suppose.