When using direct sound recording software you actually re-compress your streams making quality even worth (usually it is better to record MP3 radio to MP3, WMA to WMA). Of course you can record using lossless codecs, but it will be a huge loss of HDD space.

When saving the recorded sound to audio files computer software uses some audio codec. It can be lossless so that there will be no quality loss, but rather large files. Or it can be lossy so that you can receive smaller files, the quality and size of the saved files depend on a codec and its settings (like bit-rate, simply speaking, how much information is used to code some piece of audio signal).

That is why it is better to capture audio streams instead of recording them whenever it is possible. You may use media stream recorders or audio stream rippers. Such programs are usually limited to several formats so they can't record any audio stream like Direct sound recording software does. But they don't re-compress streams giving you the best quality.