Check your version of the Citrix agent against the HP product availability matrix to ensure compatibility. Be sure the resolution and color depth of your VuGen machine is the same as your Generators. Make sure you have plenty of RAM for Generators. You will have to baseline yourself to see how much. Citrix is very RAM intense. Record again and again. Citrix is tricky. Try to only use the keyboard (tab, space, arrows, enter) for business process steps. Using the mouse for analog functions will only make you hate it.
Try and use keyboard as much as you can. Install the agent on the Citrix server. Record and replay on the same hardware to prevent driver issues. Replay with think time. Read the documentation, there are lots of other tips there. Good luck.
After you get a working script and start into the testing phase - Grab the Citrix Tuning Guide as well. - So far nearly every installation has needed every tweak in that guide to be even close to what the users would be happy with.