Yes as long as your camera has AV-in (Not just DV-in) you can connect it to your TV and record - don't know your camera you need to look in your manual or check it's spec online.
Not all scarts on TV's have an output though so even though your TV may have two scarts usually only one of them will have signal out - again check your manual. A better choice is to use a scart on your VCR since these usually all have output.
Finally if your camera came with a scart to phono adapter you will not be able to use that as these are wired 'IN' (from camera to TV/VCR) - you need to nip to your nearest Maplin and buy a scart 'OUT' or 'Switched IN/OUT' adapter.
According to the Sony webiste, the DCRHC40E has the following:
i.Link (DV Out)
I'm intending to use it to capture the output from a Sky box rather than the TV. It all sounds a bit mad, but its for a project at work - I would have used my video recorder, but the damned things on the blink!
If the camcorder will accept an analogue input, surely the phono / scart adaptor that Sony supplied would do the job?
No, it is very unlikely to work. The pins on a scart lead are directional and the supplied scart will be for you to copy from the cam onto a VCR/watch on TV. As stated, for it to work in both directions it will need to have a direction switch so the phono leads you plug into it can feed video/sound into or out of the cam. If there is no switch then it will only work in one direction, and that as stated above will be to take the video from cam to TV/VCR and not back into the cam.