Follow these steps to record in Ableton Live:
First try clicking the Back to Arrangement button before you record. Then make sure that you are copying the clips from session view into arrangement view as covered in the Video 7 on the Sunday Keys for Ableton Resource Page, about 7 minutes in. Also you only need to arm (red record button) the track that you are playing.
Another thing to note is that you don’t need to change the filter to master. The main thing is just changing In to Auto when you playback your recording. The Filter track is a global High Pass Filter that then runs into the Master track.
Also, check out this video: