Well, it's very straightforward (on a Mac anyway). Simply use iPlayer Downloader. This will download the programme you want after which you can burn it to dvd or put it on a memory stick. It's not HD but is fine on a normal monitor or tv screen (i.e. not a 40 inch monster). The files wont delete themselves after a set time like they would if you downloaded straight from iPlayer.
As an aside, can someone tell me why it was ok for most of the population to have VHS video recorders attached to their TVs and to be recording programmes whenever they wanted and it was considered ok, whereas now everyone quotes copyright, DRM etc etc simply because we've gone digital?