To make things clear:
If you use the in-built mixer interface in Cross (Dual stereo mode), you can record the master output within Cross.
This records stuff inside the software, right before the data is routed out to the soundcard, so even if the soundcard is glitching the record should be flawless.
Using this, you don't need any record devices, Cross handels it, and saves it. You can check the Preferences/ Record tab to see the format and the filepath.
In External-Mixer mode, you mix with a mixer connected to a soundcard, so you need to record your Mixer's output, you can't record using Cross.
YOu need a recording device. I suggest to youse a standalone recorder (American Audio Pocket Record), so it won't use performance on your PC, and because they are battery powered, the eliminate most of the noise.
For internal recording in Cross, you can use a controller, and timecode devices but the key thing mentioned above, is to use the mixer inside Cross.
Cheers: DzsoniB the talking Cross manual