For screen shots just using the Print Screen key on your keyboard automatically removes the UI from the screen shot. You shouldn't need to hide the UI unless you are taking the long way about taking screen shots and pasting them into a paint program.
Screen shots taken using Print Screen will appear in your screenshots folder inside your STO folder which can be found inside your Cryptic folder on your C drive. I always create a shortcut to this folder in my Pictures folder for ease of use.
For video recording you definitely want to use the Alt+f12 method.