I downloaded a program called Desktop Live streamer that will open up a stream in VLC player. When I go to the Convert/save... option there is no option to convert/save the current stream or video that is already playing, none that I see anyway but that would be a very nice option.
Alternatively, in the preferences it would be nice if you could choose all the different types of video options as the default file type, like ogg, mp4 etc. As far as I am aware although on the convert/save menu you can select the video type but when you push the record button on VLC I don't see a way to make it default to anything other than MP4.