This is probably the most useful thing I've read on a blog in the past year.

http://www.37signals.com/svn/posts/775-ask-37signals-how-do-you-make-screencast-videos

The most important part is one simple sentence. Make the audio first!!!! Doh!! No wonder I always sound like an idiot trying to do the audio while using the UI. Do the audio first and then create the video portion while listening to the audio and match them up. So much more intelligent.