You cant use recordnetdemo when you're the server

Best option is to run a dedicated server on your computer, then start quake4 and connect to yourself.

It's a bad idea to use recorddemo, because you are limited to 30fps and the file sizes are HUGE.

In UT2004 i used a white dot with a thin black border. Worked brilliantly.
Not sure if you can use custom crosshairs in Q4 - I noticed there is a cvar that points to the .tga file, can you use your own file?