In Place Record Management
http://saifalmaluk.wordpress.com/2012/02/24/configuring-in-place-records-management-in-sharepoint-2010/

Create records center
http://www.c-sharpcorner.com/UploadFile/Roji.Joy/how-to-configure-record-centre-in-sharepoint-2010/

This post explains that a web service OfficalFile.asmx should be used to configure sent to connection however, I was getting below error

Url validation failed for http://mysite/sites/testrecordcenter/_vti_bin/OfficialFile.asmx during Record and document center connection configuration with exception The request failed with HTTP status 401: Unauthorized.:

Resolution
http://blogs.msdn.com/b/sharepoint_2010/archive/2011/06/13/unable-to-create-a-quot-send-to-connection-quot-verification-failed-url-is-a-not-a-valid-routing-destination.aspx

Anddddd.... it worked !! But just as mentioned in a comment there, this is not a safe way so followed below steps also mentioned in the comment and everything is working again !!!

http://support.microsoft.com/kb/896861