Sorry, yes, I should have realized from seeing all this for-each code that you weren't yet confident with using template rules.
You just need to add
<xsl:template match="RECORDS">
<Data>
<xsl:apply-templates/>
</Data>
</xsl:template>
Michael Kay
http://www.saxonica.com/
Author, XSLT Programmer's Reference and XPath 2.0 Programmer's Reference