If it's not an aimless jam -- and often it is an aimless jam -- I usually start from just one module or musical element. I often try to get a module to do something new. This is especially true for those modules that can do a lot (looking at you Disting!) For example, recently I've been trying to get the BIA to do many things at once; this means both learning the sounds that it can do, and also how to set up the different modulation tracks to make it happen. Once I'm happy with my "experiment" I usually bring in other elements to build a piece of music around that.

There's no need to record unless it's sounding good, although if I've been playing too long my judgement about good and bad can be a bit off :-/