I use a digital camcorder for the video only (no audio), and I record the audio separately for better sound, copy to PC (video is in avi and is very large, and the sound ends up in mp3) and edit in Vegas Movie Studio to merge the video and sound. Then, I render/compress to wmv to get the file size down to something manageable.
Unrelated to the keyboard videos, I recently tried to edit an avi movie file from my canon powershot. Vegas Movie Studio wouldn't work with the file properly. I haven't solved the problem yet - but I'm sure there is a way around it.
IW