Bear in mind that you cannot copy recorded Box Office movies - it would breach the copyright agreement.
To copy broadcast content:-
Connect a SCART lead from the Sky+HD box to a spare SCART socket on a DVD recorder.
Set the DVD recorder to the Line In feed (labelled AV, Line or Aux)
Insert a formatted blank DVD into the recorder
Cue up the programme on the Sky+ box that you want to copy
Put the DVD recorder into ‘record’ and then start playback on the Sky+ box