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Recording will be written every time the buffer is full, at a minimum. How often this is depends on what format you're recording in, but basically, at the very least if you're recording and the battery dies you should get everything except possibly the last 30 minutes or so of recording before battery death. It's possible the Sansa will get a bit more than that even. You are likely to have a corrupt file, but it should be fairly easy to recover.
If using WAV format as recommended above, it takes up ~10MB per minute. AFAIK, the recording functionality won't use the MicroSD automatically, only if you choose it as the 'recording' directory.
You'll want to check the file browser's context menu
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