MyDMX and an external control in DMX

No that is not supported by MY DMX. There is no DMX record function. Welcome to the forums.
Sincerely,

Thx for express answer.

So i must bring my computer to each show ? Or the box can save it ?

The best option is to bring your computer running MyDMX with you to each and every show, along with the MyDMX interface.

Your other option would be that if the hardware you are talking about can RECORD the DMX output from the MyDMX hardware via DMX IN connection, that would be your only bet. It would seem though if you're willing to go through the extra effort to record the data somewhere else and the extra expenses to get more hardware, it would have made a lot more sense to just use the MyDMX platform and save time, money and effort.

I have a DMX Operator, which I replaced when I started using MyDMX. You'll find that the MyDMX product to be far more capable than the little controller you also have.

If it was me I'd just use MyDMX. In fact, that is what I am doing.

Note for others: The link is basically a re-branded and slightly tweaked DMX Operator 192. This way you know the capabilities of the controller he's referring to.