I've been DVRing these shows live but careful to not skip ahead or pause because my cable provider (Bell in Canada in case you're wondering) has the bad habit of clipping off the last few minutes of each and every Mad Men to date.
Your DVR may have the option of setting it so that it records an extra minute or two of a particular show. Here in NYS Time Warner cable had a bad habit of clipping off the last couple minutes of South Park. Then I noticed when I set up the season pass I had the option to adjust the start and/or stop times. So I adjusted the stop time and the clipping ended.