The macro recording functionality doesn't currently record any use of the incremental search. Implementing this would greatly enhance what you can do with the macros. As an example, look at Emacs where the macro record does record incremental searches performed while recording the macro. It really does open up a lot of interesting use cases for macros.
Another handy feature would be to let the user run a recorded macro a user defined number of times. Perhaps adding a menuitem "Run Macro..." with a popup menu of macros and a number of times textfield? This is very useful for e.g. creating repetitive data.