Are you talking about Record-A-Call (on-demand by user) or full-time recording of all calls? I think record-a-call is embedded in the standard voicemail, but I haven't played with it on a SX200, and full-time recording would need a special application server, probably recording at the trunk level.
Sorry, but it's been so long since I have seen a SX-200 in anything except a hospitality environment, and they don't use many features.