It is very easy to copy what is on Sky+ to a DVD recorder, I do it all the time
(in fact I am doing it right now, copying Raiders of the Lost Ark that was on BBC1 a few weeks ago to DVD to keep it)
I think a standard DVD recorder is easiest, I dont think there is any way to connect an XBox or laptop to a Sky+ box (the USB port on a Sky+ box cannot be used).
Connect the Sky+ box to the DVD recorder with a Scart cable. Put a blank DVD disk in the DVD recorder, start watching the film on the Sky+ box, and press Record on the DVD recorder. It is that easy.