Analysis Services 2005/2008 ASTrace Utility Sample (Free)
ASTrace is a lighter-weight approach and is recommended.
Analysis Services does not have a built-in tool to extract traces and save them to a file or table. This ASTrace utility sample demonstrates how to implement that trace functionality.
ASTrace utility is part of Microsoft SQL Server Product Samples: Analysis Services project at codeplex. There is a version of this utility for Microsoft SQL Server Analysis Services 2005 and 2008.
You can read more about this utility and download it from here.