By default, History recording is turned off in Rhino 4. To record history, click in the Record History pane in the status bar at the bottom of the screen. Recording lasts exactly one command and then turns off again so that you need to set this for every command for which you would like to record history. When the 'Record History' text is bold in the status bar pane, history recording is on. To force Rhino always to record history for eligible commands, right click in the Record History pane and set a check mark to 'Always record history' in the context menu. Note there are other settings available there as well. These settings can also be set at the command line using the History command.
In order for history to be recorded for a command, recording must be turned on before the command completes- it's ok to start recording history for Loft while the Loft dialog is up for example. See Help for details and a list of History enabled commands.