Audio record works much the same way like midi record. Select some bars on an audio track where you want to record an audio signal. Then press the record button. More on record / play you can read here. While recording you may not hear other samples depending on the capabilities of your sound card. Most sound cards do not support simultaneous record and playback.
When you have finished recording, stop the operation by clicking on the play or record button again. JAZZ++ will then ask you, if you want to keep the recording. When you answer yes, you will get the file selector dialog to specify the audio file for your recording. The recording will be saved in the Microsoft .wav format. Also JAZZ++ automatically assigns a midi note to your new sample and places a note on the recorded audio track. If you don't like your recording and you do it again, you should save it under the same file name as the old recording. Then JAZZ++ will reuse the same midi note and not assign a new one.
Please note: when you do audio recording, JAZZ++ needs much memory for the playback too. So you should start playback a few bars before the selection and stop playback a few bars after it. Please do not playback the whole song, when you only want to record a few bars.