> I'm just curious if there still is a hotkey to record WAV files in the Windows version > of MAME or is the DOS version the only way?
There hasn't been a DOS version of MAME for 6 years now, so you're unlikely to be using it anyway.
If you mean "MAMEUI" or "MAMEUIFX" by "Windows version", you should really look into a more modern GUI frontend like GameEx or QMC2 or EmuLoader or mGalaxy. Those all let you use the real MAME executable with a comfortable customizable graphical interface and you have access to more of MAME and MESS's features than the "UI" versions are able to offer.