I personally prefer to record hulu shows I like with an app called Tunebite. Among other things, it also has a screencapture function that can can help you save video streams from portals like hulu and a lot more others and save them in a format suitable for your needs.
Also found some tutorial to help u get things started with Tunebite's Hulu Downloader:
Hulu videos has heavy DRM, many programs which claims be able to download videos from it are practically not working. So I record videos from hulu in recording screen way. It will absolutely help record the videos off Hulu. link
Have to agree that drm can be a pain in the back, screen capture apps surely works faster and better to record streaming movies and shows from Hulu since they don't really have to mess with all that drm protection.
There's also some Audials Tunebite piece of software that can capture and record Hulu streaming movies and videos: