As I could not find any tool fitting my needs, I made my own tool : WhazzerFinger.
You can download it (sources or binary) here: https://github.com/zippy1978/WhazzerFinger.
The application adds an overlay on top of the actual simulator window to give it a more realistic look. At the moment only iPhone is supported in portrait or landscape mode. iPad should come in the next releases.
Screenshots and videos are stored on the desktop. Videos are encoded using H.264 codec.
Here is a resulting video (WhazzerFinger + iMovie with Ken Burns effect): http://youtu.be/Z3W-qU5EP4A.