Nope. Not without a huge amount of faff. And loss of quality.
Basically:
1. make sure you a video capture card in your PC/Mac, and suitable software
2. connect computer to scart output of sky box (probably using composite video...eugh), and then record in real time (i.e. a 1hr prog will take 1hr to record)
3. convert to an iphone-friendly format (mp4)
4. add to itunes
5. sync iphone.
IMHO, far more time and effort than it's worth...
There is no quick way as Sky encrypt the hard disk.