Look at this code to see how to record stuff in Malmo (creates an MP4 file): https://github.com/Microsoft/malmo/blob/master/Malmo/samples/Python_examples/tabular_q_learning.py#L375 (you should edit your xml and include the videoProducer).

If you're on the Mac:

use iMovie! Here's a decent tutorial to combine clips: https://filmora.wondershare.com/imovie/join-clips.html
if you need to clean up your audio (beyond what iMovie supports), Audacity!
You might want to take screenshots and captures, use the OSX shortcuts for the former, and QuickTime for the latter.

If you're on the PC/Windows:

use Windows Movie Maker (link), tutorial on combining clips: https://filmora.wondershare.com/windows-movie-maker/combine-clips-in-windows-movie-maker.html
if you need to clean up your audio (beyond what Movie Maker supports), Audacity!
Use the snipping tool (or shortcuts) in Windows for screenshots, and for screen captures, you can try the Windows Game Bar, or a free third-party app like Camtasia, CamStudio, or TinyTake.