Except the Apple ads get to have fun with video out.
Your choices are (in order of popularity [or rather likeliness]):
1) Film the actual iPhone and the actual hand together like most people (though it's harder to see the app and it's not as nice).
2) Use a video capture application (like iShow) with the simulator and just live with the mouse or tell the application to not capture the mouse.
3) Use a video capture application (like iShow) with the simulator and make sure to tell the application to not capture the mouse then in the video editor, overlay a circle.
4) Use a video capture application (like iShow) with the simulator and make sure to tell the application to not capture the mouse. Then film your hands over a green screen with a monitor next to you so you can follow the speed of the movie. Then overlay that footage above the simulator video.
5) Modify your iPhone to support video out (I don't think anyone has done this) so you get all the icons as well as accelerometer support (if you need it). Then film your hands over a green screen with a monitor next to you so you can follow the speed of the movie. Then overlay that footage above the video out footage which is bordered by the simulator's border.
Or, you know, don't film anything
.
