nothing illegal about recording unprotected content from sky+ to DVD, its the same as VHS taping it.....
to record from Sky+ to DVD sadly you have to do it like a VHS, play what you want recorded and record it in realtime to the DVD recorder......which means you cannot watch anything else on Sky+ while you are recording......however if you still have a normal terrestrial aerial hooked up you can watch normal channels 1-5 (or with a separate freeview box whatever freeview channels are available).
Its annoying you cannot record digitally as that would be soo much quicker...lol
However some programmes, namely Box Office films are copy protected and you cannot record them to DVD legally....the reason for this is because Box Office is basically a licence Sky has that acts just like a rental store like Blockbuster.....these films are still quite often fairly new to DVD so the film companies are still making money on them in rentals and sales. So you are allowed to watch them as many times as you like but they are deleted usually within 24 hours (so the same as you having to take the film back to the rental store).....but some Box Office stuff is keepable on the Sky box for longer, i paid for PayPerView WWE Wrestling event the other week and i had up to 2 weeks to watch it in. But it would still then delete. That wasnt protected tho, probably because they charged me £15 for it...lol....so i was able to copy it to DVD.
Basically if you try and copy something and a banner comes up saying something along the lines 'Sorry but Sky Does Not Permit This Action' then it means its copy protected, and legally cannot be recorded. If no banner comes up then there is no problem recording it legally. Providing you dont then sell it or make multiple copies for friends of course...lol