I am not sure why you want to capture this with Rexx, but I will second the 
idea of using the SPIN= keyword to spin off log entries on a regular interval. 

If you just want to capture to disk, you can use one of the products mentioned, 
or if you don't have such a product,  you can create an external writer STC 
(external writer comes with z/OS) to capture that output class. 

If you are looking for particular messages in the log of the task or job, a 
better tool is to use an automated operations tool, many of which can invoke 
Rexx when trapping a specific message.

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