You're most likely missing the keyup/keydown sequence.

I give you an example which might make things a bit easier to understand.
Say you want to use Alt+G:

In macroworks do the following

1) click on the key on your x-keys you want to have the macro on so you get the macro record window popping up
2) click Alt on your keyboard
3) click on the Insert dropdown menu and select keydown
4) press G on your keyboard
5) press Alt on your keyboard
6) Click on the insert dropdown menu and select keyup

That's how it works for me.