it contractual to have the box connected for the first year on normal sky, sky+ you are meant to have it connected all the time (different contract terms)
if you do not have the phone line connected then the box office rentals will not work neither will any interactive stuff, also depending on the terms of your contract you may be in breach of contract and they can disconnect the service(don't think it's ever actually been done though)
Sky will probably charge you 2-300 quid to do the job.
The LNB costs about 25, the cable and connectors next to nothing, sky are a rip off (I friend recently got quoted £350 to install just the LNB and cables for another sky box,I said I would do it for them, it cost them about £55 in parts and me about 1/2 hour up a ladder to do it for them, I which I could charge £600 an hour labour!)