While creating new script I don't want show the old urls under the 'Last recorded urls'
This can't be deactivated but you could remove the content prior to each new recording.
The information are stored in the user profile. Go to menu "Help-->Open logs folder..." go back once on the tree folder and enter the "conf" folder.
Then edit the controller_user.properties file and look at the end of the file within the [bookmarks] section.