You can use mplayer.
mencoder -nocache -rtsp-stream-over-tcp rtsp://192.168.XXX.XXX/test.sdp -oac copy -ovc copy -o test.avi
The "copy" codec is just a dumb copy of the stream. Mencoder adds a header and stuff you probably want.
In the mplayer source file "stream/stream_rtsp.c" is a prebuffer_size setting of 640k and no option to change the size other then recompile. The result is that writing the stream is always delayed, which can be annoying for things like cameras, but besides this, you get an output file, and can play it back most places without a problem.