Depends what you mean by backing up
What you can do, is take an image of your sky+/HD drive and keep that backed up incase your Sky+/HD drive ever fails - then you can simply copy the image back over to a new drive, pop it back in your box and watch your content. The best way to do this is using a program called MFSTools, which is essentially a bootable linux CD with some great tools for this sort of stuff (it's what I used to upgrade/backup my Tivo for example). There are probably some tools written specifically for sky+ out there too.
The other thing - which I think your wanting to do - is to try and extract the recordings (to say a PC) so you can watch them anytime, on something other than your box..possibly even when your not subscribed to sky+/HD. This is one thing i'm not really going to start to help you with, as it would definitely break your sky terms+conditions, and i'm fairly sure its illegal in the same way as downloading films etc off the internet
The reason being that you have to break sky's encryption to do this..so while getting the encrypted files themselves is perfectly legal (although against your sky contract), actually getting them into a state where you can view them is illegal.
So if thats what you want to do , then backing them up as tinners suggests is the best, legal way