Well, I never tried it, but I did set up private after-hours screenings for myself and a few select friends on occasion. Occasions like the night before Ep. 2 opened, etc.
I'm not just saying it to be coy, I really never tried making a copy of anything. Too afraid of federal prison and such. I suppose if one was so motivated, though, it wouldn't be too hard, since all managers and projectionists had keys to the building and booth, and you could probably set up a tripod in the auditorium for the camera and an audio line to the audio rack in the booth. I know there are problems with using a standard camcorder for recording movies due to the different frame rates, but I never looked into it.