If by subtitles you mean those for the hard of hearing, which you get by going to a certain page on teletext, then you will only be able to record them if your recorder has teletext built in, or by tuning the TV to the same channel and recording from the AV out of the TV - of course if you use the second option, you won't be able to watch anything else whilst recording.
I am extremely hard of hearing and after consulting with the RNID I discovered the only way of doing so from terrestrial tv was by buying a hugely expensive gadget.
However, I can now do so through freeview - a set top box with my old tv and recorder records the subtitles perfectly.
Of course, they can not be switched off once recorded.