It is doable. I have one of those Panasonic does-everything boxes, (pre-blu-ray) and if I really want to record from either Sky or Sky+'s HDD, I play the prog thru the Panasonic to the tv, and get the Panasonic to record on to its own HDD. From there it can go to either tape or dvd. As Mr Cape, says, piccy is OK, but not up to Sk's normal quality. I do not pay for Sky HD,/3D/etc so I dunno if that works.
As the different boxes are normally in different rooms, it is not something I bother with much. Have yet to encounter Mr Mixture's point about IP rights, but I do not copy that much that often.