Hi,
Depends what you do with your SKY+ box. When you upgrade you get a new (or reconditioned) SKYHD box but the SKY+ box may be placed in another room as part of a multiroom package. If this is the case, your recordings will remain on the HDD of the SKY+ box.
If you do not keep a hold of your original SKY+ box the recordings will leave with it.
Cheers,
Cofnchtr.