Our Virgin Box did the same thing. The box was set to turn off if it hadn't been touched after a set period of time.
We went out one night and set the timer on the DVD box, to record off the Virgin Box - the damn thing switched itself off halfway through the recording lol :(
We've since disabled it, so I can confirm that there is an option to disable it - at least on a Virgin box, so I'd assume that there is the same option for a Sky Box as well :)