Yes, I do record them and I find it very helpful. My psychologist actually suggested it early on. There was a stretch where I didn't record them and I missed not being able to listen to it again. I simply asked if I could record the sessions again and he was fine with it. He said that he knows patients can find it helpful to hear things again and sometimes to remember what was said too.
I know that I have left appointments, gotten in my car and had trouble recalling what was discussed - more importantly, what my psychologist told me. This would be minutes after the end of the appointment. I know that I couldn't recall because I had been upset. Being able to listen to the session again the following day has been really helpful.