Recording multiple devices at the same time works very similarly to recording a single device.
When mirroring a device, begin recording by clicking the red Record button in the Client Name bar on the mirrored image.
Recording with Reflector 4 is very dynamic. Devices can be added and removed from one recording many times. As long as one device is being recorded, the recording will not stop.
You may also quickly begin recording all of the connected devices by using the Record button found in your Reflector menu.