We certainly recorded from our Sky+ box onto a recordable DVD player.
The sky+ box actually has (had? haven't done it for a while) a special facility to copy - enabling you to highlight 3 or 4 programmes from your recorded list (red button to copy?) and then when you press play it transmits all programmes highlighted automatically (note: it is in real time so we used to set it up when we went to bed because you can't use the sky+ box for anything else whilst it's outputting).
Just a case of tuning your video/DVD recorded onto the right channel and plugging scart cables in the right places !
You can do it if you have a personal hard drive/DVD recorder -- just play back the Sky program with the correct input selected on the recorder, and hit Record on the recorder. It's a bit of a faff because you have to do it in real time, but it's quite easy. If you just have a Sky box and a computer with DVD burner you can't do it, though, so far as I am aware.