How do I record a macro on-the-fly without using software?

Press and hold the SteelSeries Function Key + X (Macro Recording Key) for 2 seconds to start recording, then type your desired key combinations. Press the SteelSeries Function Key + X again to stop recording. The X key will then flash — press the key you want to assign the macro to. (Page 4)

From the official Steelseries Apex Pro Mini Wireless Mechanical Gaming Keyboard manual, page 4

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