Hi Tobi,
Altitude is part of the recorded waypoints, so it should be at least trying to achieve the set altitudes. Make sure your throttle stick is within the center deadband while flying missions.
Does the 'copter hold altitude OK otherwise (when flying horizontally)? Or when RTH, does it return to correct altitude? A recorded waypoint is essentially the same as a recorded home position.
It is also helpful to wait for a good GPS fix (0.8 H-acc or better) before recording waypoints. At 0.8 H-acc AQ switches between two altitude estimators, which doesn't work very well. You can also change this setting in the Navigation QGC tab (Max. Valid GPS Accuracy -- read the tooltip for some more details).
HTH,
-Max