If "it" refers to "only record parts of what I hear" (instead of the topiccowboy wrote:So it sounds like there is no way to do it ?
You could check out total recorder (Shareware). Here, you can also specify for example you only want to record the "wave" channel and then can listen to midi or CD or line in at the same time. You also avoid the quality loss by AD/DA converting. If you click around however, and for example induce an error "pling", that'll go out the wave channel and be recorded...
nb: Of course, this whole thing is difficult, because real doesn't want you to record their streams in the first place... however if you google a little, you also find a bunch of tools to "capture real stream". With these, you can of course listen to whatever you want.
This isn't strictly an audacity answer, so please tell me if I violated the forum rules by that... I'm not associated with any of the stuff I'm linking to, of course.