SoundHelix does not produce sound by itself, it only produces music (i.e., sequences of notes and pauses) that can be played back. If the device you use for playback does not offer a recording functionality by itself, you need an external software that provides recording audio from your soundcard in real-time. A software like Audacity can be used for recording and writing the audio data in different formats (e.g., MP3 format).
Another possibility is to let SoundHelix write MIDI files for the generated songs, which is available since version 0.5. This would allow using the MIDI files in third-party MIDI software, which might enable you converting the MIDI data into an audio format. Please look at the MidiPlayer for details about how to use the MIDI export.