Please describe more about what you are doing. Are you recording a guitar and feeding that signal to standalone JAMVOX software, and then asking Audacity to record the modified signal? Does JAMVOX appear as an audio device in /Applications/Utilities/Audio MIDI Setup? How is the guitar connected to the computer?
Or are you running JAMVOX as a plugin in Audacity? If so, is that VST or AU? What version of Audacity and what version of OS X? See the pink panel at the top of this page.
Audacity does not yet run real-time effect plugins and does not work properly in Yosemite.
Where are you listening to the sound that has the effects applied, and are you choosing the JAMVOX recording device in Audacity Device Toolbar?
If you are already choosing the JAMVOX recording device in Audacity then it will be a question of setting JAMVOX up so that it sends audio for recording with the effects applied to it rather than the dry signal without effects.
If that is not possible, install Soundflower from https://www.rogueamoeba.com/freebies/soundflower/. Set Soundflower as the system output device and as the Audacity recording device. If you can get JAMVOX to send audio to the computer then you can record the effects that way.