How can I record on my iPhone?

You can't. The iPhone doesn't have any way of recording, either audio or video. Perhaps this will change in the future, but right now that's the case.

if you record using your computer as a wav file then use iTunes to convert it onto your iPhone then you could play it back

There is an application for iPhone called VNotes, and, you guessed it, it records your voice. At this point in time putting applications on the iPhone is somewhat hack-ish.

There are programs you can use to transfer files on your iPhone, iBrickr by Nate True, for example. This program (Windows only) allows you to upload ringtones, change background images, and put your files in the desired folder on the iPhone. You can use this program to install vrecord.

The better alternative: Installer.app by NullRiver. You can download and update your applications right over WiFi! Check out NullRiver http://iphone.nullriver.com/beta/ This application is not officially supported, but it works wonderfully. I have been using it for about 2 weeks now and no problems yet. Using this you can install their version of a voice recorder, as well as several other useful apps and utilities.

They even have a couple games. including an NES Emulator allowing you to play all the old NES games! You can find games at: http://www.theoldcomputer.com/Libarary’s/Emulation/NES/ROMs/NES_roms_summary.htm Use iBrickr to upload the downloaded ROM file to the correct directory (/var/root/Media/ROMs/NES).

Lastly: A great resource is www.modmyiphone.com