I think I might have found away to keep your videos you get off of Xbox Live on to dvdr. I download a copy of the halo 3 commercial off xbox live to my 360's memory card and then used XChange 360 to copy the file to my pc and then used XIC V1.0.exe to convert the XChange 360 image to a bin format and then used Xplorer360.exe to extract the the pris file. Once I had that I used wxPirs.exe to extract the content and what I got was a file called default.wmv. I was able to then play that on my pc using windows media player. You can then put that on to a dvdr/cdr(if video is small enough) and play if back on your 360 anytime. Or convert it to dvd format using nero and then play it on a dvd player.
I don't have the ability to hook my Xbox 360's HDD to my computer to try it with a full length movie, but if someone out there does have the ability to do it, Could you try what I did but with a full length movie and then post your results?