So I just stick my card in it and off it goes? Even though I've not paid anything to Sky for Sky+.
I assume it is a FreeSat card that you have in the Sky box? Then yes - it fits in a Sky+ box in an identical way. No further costs involved.
If I wanted to fit a quad LNB do I have to do that at the dish?
Yes - the LNB is the bit in the middle of the dish that collects the signals. In order to access the full range of services Sky+ offers, you would need to replace the existing LNB (unless it is already a quad) and run an identical co-ax cable alongside the existing one (the Sky+ box has two inputs, so one co-ax per input).
If you didn't want to bother with that, you could just swap the old Sky box for a Sky+ box with existing cabling, but you couldn't ever watch one channel whilst recording another because you wouldn't have the two inputs needed to do that.