AFAIK, mapfactor navigator IS able to record GPS traces … there are some large threads about mapfactor here in the OSM forum … search for it.

When you have a device with Windows Mobile, have a look at http://wiki.openstreetmap.org/wiki/Windows_Mobile … try to find programs that record GPS signals.

I can recommend NaviPOWM, because it can display an offline vector real time rendered map when you are moving around.