To allow
"recording" you need to run openttd -T and then, in-game ctrl+r starts/stops dumping images. 
Now it makes screenshots @ aprox 16 fps, and can be esily changed to full speed (about 33fps). Format is selected by standard menu.
I also wrote a small bash script (encode.txt) that encodes series of frames into xvid. Transcode is needed to run it. Grab the file and change paths that suit you.
You can add some text with imagemagick to those frames, just as I did in example.
Hope you enjoy it. Please make comments and suggestions, so i can improve code if needed.