Your ability to run samples and jam simultaneously is only limited by the size of your mixer!
For me, I rehearse and come with a plan to the show. Most recently, I had three tape players with different loops, and then several synths and a feedback loop (with a level controller). I would trigger various tapes at certain points during the performance, and then alter other aspects of the setup as needed/in ways that would stay interesting for the duration of the performance.
I'm not sure what you mean by recording/dubbing in this context, but I try to set up a tripod and film/record my set. This last time, however, I also ran the headphone output from my mixer into a digital recorder to see how that works.
