What's the best way to do

Look at the recordsample in the SDK

the onKey in your AppBase is never called.  It's the one in the delegate that is

Your delegate is missing:

    function initialize() {
        BehaviorDelegate.initialize();
    }

which is the reason for the message.

ok, all my code

app.mc

import Toybox.Application;
import Toybox.Lang;
import Toybox.WatchUi;
import Toybox.ActivityRecording;
import Toybox.Application.Storage;
import Toybox.Position;

class teste4App extends Application.AppBase {

     private var _recordSampleView as RecordSampleView?;

    function initialize() {
        AppBase.initialize();
    }

    // onStart() is called on application start up
    function onStart(state as Dictionary?) as Void {
//EXPLORAR MELHOR, SE NAO TER POSICAO QUER DIZER QUE NÃO ESTÁ NENHUMA SESSÃO A GRAVAR... OU SE É O CONTRARIO...
        System.println("gpsOn, has position: " + (Toybox has :Postition)); 
        if( Toybox has :Postition ) { 
        System.println("Toybox has :Postition"); 
        Position.enableLocationEvents(Position.LOCATION_CONTINUOUS, method(:onPosition)); 
        } else { System.println("não temos posição GPS");}

    }

    // onStop() is called when your application is exiting
    function onStop(state as Dictionary?) as Void {
        var recordSampleView = _recordSampleView;
        if (recordSampleView != null) {
            recordSampleView.stopRecording();
        }
        Position.enableLocationEvents(Position.LOCATION_DISABLE, method(:onPosition));
        System.println("DESLIGOU O GPS");
    }

    public function onPosition(info as Info) as Void {
        System.println("segundo a segundo");
    }

    // Return the initial view of your application here
    function getInitialView() as Array<Views or InputDelegates>? {
        
       return [ new teste4View(), new teste4Delegate() ] as Array<Views or InputDelegates>;

       /*
            var view = new teste4View(); 
            var delegate = new teste4Delegate(); 
            return [ new teste4View(), new teste4Delegate(view) ]; 
        */

    }

    function getApp() as teste4App {
        return Application.getApp() as teste4App;
    }
    

}

delegate.mc

import Toybox.Lang;
import Toybox.WatchUi;

using Toybox.Graphics;


class teste4Delegate extends WatchUi.BehaviorDelegate {

    function initialize() {
        BehaviorDelegate.initialize();
    }

/*

    function onBack() {

        WatchUi.popView(SLIDE_IMMEDIATE);

    }
*/
    function onMenu() as Boolean {

        var menu = new WatchUi.Menu2({:title=>"Wind Surf"});
          
          menu.addItem(new WatchUi.IconMenuItem("Sails", null, "item_sail", new CustomIcon(Rez.Drawables.LauncherIcon), null));
          menu.addItem(new WatchUi.IconMenuItem("Boards", null, "item_board", new CustomIcon(Rez.Drawables.LauncherIcon), null));
          
        WatchUi.pushView(menu, new teste4Menu2Delegate(), WatchUi.SLIDE_IMMEDIATE);

        return true;
    }

/*
    function onKey(evt) { 
    //getKey dá o botão que foi carregado, 4 é o botão começar, o vermelho
    if (evt.getKey() == 4) { System.println("Vamos começar a gravar a sessão"); }

    // return false é como se fosse o elseif, se ele não entrar no if retorna falso
    return false;

    } 
*/

}

class CustomIcon extends WatchUi.Drawable {
    var bitmapResource = null;

    public function initialize(resourceId) {
        Drawable.initialize({});
        bitmapResource = WatchUi.loadResource(resourceId);
    }

    public function draw(dc as Dc) as Void {
        dc.setColor(Graphics.COLOR_TRANSPARENT, Graphics.COLOR_TRANSPARENT);
        dc.clear();
        dc.drawBitmap(5, 20, bitmapResource);
    }

   
    
}

menudelegate.mc

import Toybox.Lang;
import Toybox.System;
import Toybox.WatchUi;

class teste4Menu2Delegate extends WatchUi.Menu2InputDelegate {

    function initialize() {
        Menu2InputDelegate.initialize();
    }

    function onSelect(item) {

        if (item.getId().equals("item_sail")) { 

            System.println("VELAS");

            //CREATE SUB MENU
            var menu_sub = new WatchUi.Menu2({:title=>"Sails Size"});

            menu_sub.addItem(new WatchUi.MenuItem("7.8",null,"sail1",null));
            menu_sub.addItem(new WatchUi.MenuItem("7.1", null,"sail2", null));
            menu_sub.addItem(new WatchUi.MenuItem("6", null,"sail3", null));

            WatchUi.pushView(menu_sub, new teste4Menu2Delegate(), WatchUi.SLIDE_IMMEDIATE);

            return true;

        } 
            else if (item.getId().equals("sail1")) { System.println("you chose sail 7.8"); }
            else if (item.getId().equals("sail2")) { System.println("you chose sail 7.1"); }
            else if (item.getId().equals("sail3")) { System.println("you chose sail 6"); }


        return false;

    }


    /*
        function onMenuItem(item as Symbol) as Void {


        }
    */


}

view.mc

view.mc 

add initialise in teste4Delegate and call inside BehaviourDelegate.initalise()

Thanks to both! now its working. MANY THANKS!!