Go to the shadow play settings, the same options where you choose to turn it on and off (has the switch on the left hand side). Along the options on the bottom you want to choose the one on the far right, the option says something like capture in game footage, click on this and you'll need to change that to in game footage and microphone.
You'll notice in the bottom right during game play that it has a microphone symbol next to the circle symbol.
I hope this helps mate, I'm not at my PC until this evening. So I can provide more detail and pictures later
Ah yeah I know where you mean, thanks!
I'll give it a whirl tonight, do you know if it records your mic continuously or via push to talk?