It will depend on the add-on (and possibly the specific source) you use.
Some add-ons do not have a download or record feature. Those that do tend to have it for TV series and films, not live events.
To check, before you click on the add-on you want to use, click the Menu or C (if you have a QWERTY keyboard on your contorller) button when the add-on is highlighted. This will bring up a menu, select Add-on settings. Go through the different tabs and look for downloads/record entries. Configure them to use your external SD card. Then press go back, open the add-on, and when you'd normally start playing a stream, again press Menu or C, if you can record or download it, it'll normally be an option in the menu that has appeared.
Try checking other add-ons if the one you currently use doesn't have anything helpful.
It is up to the add-on authors to allow/create this sort of functionality in their software, XBMC has the framework in place, it would appear.
If you google this topic, don't get misled by PVR/DVR references, these are hardware cards you plug into a PC, we're looking for add-on features.
In terms of scheduled recordings, I'm not sure I've an option for this, let us know if you discover an add-on that helps!
