The .rm files you are talking about are Real media, right? They are streaming files, so you cannot play them without an internet connection. There are, however, recording applications such as
iRecordMusic and
AudioHijack. The former was one of the first pieces of shareware I had ever purchased, and I have been really happy with it. The latter is somewhat more versatile, but I liked the clean interface and webkit usage of iRecordMusic.
🙂