I explain my method, sure there are better ways though:
1. Make a video using fraps or Bandicam, you need to set screen size as your video proyect, 0 = 320x240, 1 = 480x272, ... check the manual if you don´t understand.
2. Open it with photoshop, (photoshop can work with video), video size needs to be small, unless you have a lot of memory on your pc.
3. On Photoshop, will apear a new window whit timeline, if not go to window timeline.
4. On the upper right from this window there is a submenu, open it and set workarea start and end, this is the part of the video that you are going to work with, you can cut that part and delete the rest, check panel options.
5. Select submenu, Make frames from layer, convert to frame animation, make frame from layers.
6. There you can adjust frame delays and loop among other thinks.
7. File, save for web, select gif, and here photoshop is not good for this cos you need to set the palet with index color and photoshop tends to order the palet by hue, you can save the gif palet before and open it here, save it and done.
Here is a gif example using this method:
[img=http://s9.postimg.org/c3qsnjkuz/example.jpg]