I did just what you suggest - replaced my Sky+ box with a Sky HD box bought privately. Connecting is easy - just plug it in. All you have to do then is ring up Sky and tell them to re-register your Sky account for the new box (you'll need the serial number). If you don't do that, Sky+ won't work and you won't get all the free-to-air channels (eg. Channel 4 HD). Note that once this is done you will get BBC HD, Channel 4 HD, etc. - you don't need a Sky HD subscription unless you want HD on Sky channels you subscribe to.