In 'Video Recording' make sure you have "Allow multi-chanel audio recording" checked.
In Settings/Audio Settings - "Record microphone in to separate audio track" also needs to be checked.
This should work.
When finished recording you should have video file with 2 audio tracks - 1st with game sound, 2nd with microphone. You need to extract audio tracks from the video as Vegas or Premiere Pro can only open 1 audio track.
In this video it is clearly shown how to import that kind of video to audacity:
https://www.youtube.com/watch?v=Zhp3Foit-j0
I do understand that you are most probably not Polish and you will not understand a word

(nobody's perfect) but video itself is self-explanatory.
From there you can work with the trakcs in Audacity or simply export them as 2 separate audio tracks and import to your audio edition software eg. Audition.
Horzy