Well, since the BBC allow you to download iPlayer content, but the built-in DRM does NOT allow you to directly copy the file to another device or medium, or would say that circumventing the protection so you can do that probably is unlawful.
I'm not saying do it or don't do it, but by using iPlayer you are agreeing to it's T&Cs of use, and by circumventing the DRM on the files you download, you are subsequently violating that agreement. Perhaps not illegal, but frowned upon?