I have a Roland TD4 KX2 drum set and I would like to start doing some recordings of what I do.
What is the best option in terms of software to use?
If you have a Mac, GarageBand is probably a good place to start.
Reaper is an inexpensive (only $40 for the home license) program that will work on either PC or Mac. They have a 30 day fully functional trial, so you can see if you like it. It's pretty easy to use and there is a guide on how to setup MIDI in Reaper.