I'd connect via HDMI (feed HDMI through the unit, I'm assuming your particular Sky+HD supports this). If you the same for blu-ray/DVD then just switching the input will keep everything else the same but let you use the soundbar for everything - you'll need an HDMI switch between Sky+HD and blu-ray because the soundbar only has one HDMI but that shouldn't be a problem. (You may not have a blu-ray player or whatever but in any case HDMI is still the easiest way).
EDIT: I wish people wouldn't start identical threads.
