The Slingbox SOLO is not a HD device even though, you can connect a high definition source using the component cables but definitely, only the PRO-HD and meeting the network requirements, you will be able to stream HD locally and remotely.
Am I right in thinking that that the only input is composte so I would need a HDMI to composite cable as my Sky box does not have a composite connection?
Does your Sky box have a component connection?
As you said, your Sky box doesn't have a component connection, only HDMI. Sling clearly put loads of thought into this, by providing a component in but no HDMI in, thus making it completely impossible to connect the Slingbox to new Sky HD receivers. Doh. They're suggesting to use the composite connection instead, but the quality won't be good and it doesn't support HD signals, even if you do have a composite out.
So you are right, that yes, you need a HDMI to composite connector, which means you're then unable to connect your Sky box to your TV to watch in HD. Completely stupid, isn't it? I am repairing & refurbishing the old Thomson Sky HD receivers because these have both sets of connectors, which is how I got around it for now.