Let me clarify this for you. Record next step option is working when you have the recorder attached, and you would like to add steps somewhere in between your existing test steps. Refer to this short video to see how this is working.
If you do not have the recorder attached to your wpf application and you would like to start recording after particular step you should use the option Run To Here option, this will execute your test up to the selected step and will attach the recorder afterwards so you can continue recording. Most probably this is the functionality you are looking for. Here is a short demonstration.