You have several options to do this ... some of it depends on the outputs on your DVR.
The method that you describe will only work if your DVR outputs to your TV using coax cable (with your TV set to Channel 3 or 4). This is usually the lowest quality video that you can get.
You video quality will improve if you use better connections. From worse to best ... coax/composite/s-video/component
If your DVR has composite or s-video outputs, then you can use a hybrid tuner with the included (typically) breakout cable.
Alternatively, if you have an older miniDV camcorder with A/D pass-through, you could use that (but keep in mind that it'll record in DV format).
If your DVR is HiDef, and you want to preserve as much video quality as possible, use component cables and look into the Hauppauge HD-PVR device. It's the only device currently on the market that can do this. It'll record in h.264 format. Steven Toth has an application that will work with the HD-PVR on a Mac. ElGato's newest version of EyeTV works as well.
Good Luck