The recording function of Script Editor is pretty much non-existent in OS X, except for Finder (and even that's pretty flakey). I don't use Excel, so I can't give you any concrete suggestions, but
Excel 2004 AppleScript Reference (<<pdf which seems to insist on downloading rather than displaying within Safari, regardless of pref setting) is a comprehensive (462-page) manual, much of which is probably applicable to Excel 2008 as well.
