How to keep records in an application

Hi all,
I have a question, may be a silly one. If so I'm really sorry to spending your time.
In an application there can be plenty of information display on the console. Following code give an idea to you what i really looking.
try{
// do something here
catch(Exception ex){
System.out.println("Process not completed");
System.out.println(ex.getMessage());
}Like that we are displaying large amount of data to console. What I want to know, is there any way to keep those records. May be write to a text file or something. So that I can see all past errors, informations and so on.
Major thing I'm looking is how to work on Windows, Linux, Mac etc...
Because initially I try to write those data to a text file in Windows. Then for Linux, Mac..????
Please can you guys guide me to a best option.

Thanks for information.
Actually still I have a doubt which one is the best. And which way is the easiest way. Can you give a more explanation for me.
I start to read about Log4J, and here is one of link I refer.
[http://supportweb.cs.bham.ac.uk/docs/tutorials/docsystem/build/tutorials/log4j/log4j.html]
My question on that is, on a text file I can do it, on Windows. But in Linux, Mac and so on. Please instruct me. I've never done such things before.

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