It seems now things are set to change. While the original beta ROM’s of the HTC Touch HD shipped with In Call Recording enabled, the software was stripped from shipping devices in the west, likely for legal reasons.
Fortunately the device did ship in China and Taiwan with the software included, and the cab file to enable it is now available for download on XDA-Developers. The cab is however in Chinese, but a .mui file is also available (to be copied into your \windows directory) to translate the interface to English.
To record a conversation one simply need to start recording from the in call phone menu. The phone call is recorded in low quality highly compressed .amr format, stored in \my documents\my recordings and can be easily transferred to the desktop for archiving.
In addition HTC provided a nice user interface to access your phone calls on the device itself, almost reminiscent of Apple’s visual voice mail.
Listen to an example recording here. (Can be opened in Quicktime)
Read more about the software here.