Fixed #2071: Moving test_record.py from Pylearn2 to Theano.

I moved the file to Theano and fixed its PEP8 style. Everything seems to work. 

I hope by adding the file to the "tests" directory the testing framework will pick it up automatically. 

However, we don't have any test to check the formatting of Theano files (like test_format.py in Pylearn2), but maybe we should have it at some point?

- Julian
No empty line between a function definition and the docstring. Idem for all test fct. Otherwise, all seem good. thanks.

While you are on this, can you clean up the record.py file and add docstring with example for the RecordMode?