I think what most people do is use "cable cards" or "tv cards" to connect the cable box/tv to their computer and while it's playing live, the computer saves the original MPEGII transport stream (usually onto a portable hardrive because uncompressed video is huge). Pretty time and energy consuming because you have to leave computer on the whole time.
I'm trying to figure out how to rip matches from my DVR's internal Harddrive. It should be possible but probably hard to decrypt. This would be the easiest method of capping from cable television if it were possible.
For me personally, it's not worth it to cap matches, since we already have good US HDTV cappers for ESPN2 and tennis channel (rickatnight) and NBC/CBS (milan).