For example this java code:

mdInputStream = new BufferedInputStream( new FileInputStream( new File( MD_CONFIG_FILE )));
SessionSettings mdSettings = new SessionSettings(mdInputStream);
mdInputStream.close();

LogFactory mdScreenLogFactory = new ScreenLogFactory(true, true, true, true);
LogFactory mdFilelogFactory = new FileLogFactory(mdSettings);

MessageFactory messageFactory = new DefaultMessageFactory();

mdInitiator = new SocketInitiator(mdApplication, mdMessageStoreFactory, mdSettings, mdFilelogFactory, mdScreenLogFactory, messageFactory);
mdInitiator.start();

You can create an implementation of the Log interface that does whatever you want, including logging to multiple Log implementations. You can also use the SLF4JLog with Log4J and configure Log4J to log to a file and to the console.