Quite correct. You will connect to the Sky box with a SCART lead and record from that Source.
I've owned a couple of DVD and DVD/HDD recorders and have had problems with DVD's playing on machines other than those they were recorded on. Everyone claims Finalising a DVD will make it compatible with other DVD machines. That is not always my experience!
If you want something cheap and cheerful ASDA are selling a DVD/HDD Recorder for under £80 (incl 80GB HDD). I generally record to HDD and anything I want to archive then goes onto DVD.