I use these tools (HTTP::Recorder, HTTP::Proxy) all the time. In my case, I run the script you refer to above under Cygwin, and use Netscape for my browser.

To change the proxy configuration, I follow these steps:

1. Goto Tools | Options... | General | Connection Settings...
2. Check "Manual proxy configuration"
3. HTTP Proxy = localhost
4. Port = 8080
5. Click "OK"

The steps for Firefox should be virtually identical.

Update: BTW, the script should be running before you set up your browser to use the proxy, and should run for the duration of your tests, to insure that all steps are recorded.

HTH,