Simplest way is to connect a DVD Recorder and do a straight copy.
Sky boxes don't feature the "dump to USB" method seen on some Freeview recorders. If you want a digital recording then it will involve removing the Sky HDD and connecting it to a PC. Google for further info.
I have to do it in real time the Sky+ box has a option to transfer and you can select a collection of programs which it plays in sequence, However I have with some had problems with sound missing the odd part word.
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