yes it has to be connected so that might be a problem haha. So the elgato works by setting it up for whichever console you're using and then connecting it to your computer and using the software that came with it to record whatever you're doing. the elgato has a unique feature though in that it records even when you don't click record as long as it's connected to your computer so that if anything happens you can backtrack and record it that way. I forgot to mention that it doesn't have to be connected all the time to your computer as if you don't wanna record you can just leave it connected between your tv and console and just play normally.
Here's a vid explaining it....I had to skip like 4 mins cause the guy's kinda a dick who wouldn't get to the point haha