Linda,
Whether you want to (or even need to) take notes as you are watching The PM PrepCast is a highly individual decision. I know of students who did nothing but reading the PMBOK Guide once or twice and then watch the videos before they successfully took their exam. So you must "feel" your way around the approach yourself, because only you will know how much note-taking will lead you to retain the material.
However... as it so happens... I read an article a few days ago on note taking. It's called Write This Down: Note-Taking Strategies for Academic Success - and you can find it here:
artofmanliness.com/2012/01/27/write-this...or-academic-success/
The author introduces us to some good strategies on note taking.