Are you talking about copying one mix or the whole mix cd? If its one mix, I think its fine and unless its a really oddball mix, I don't think anyone would notice. If I recognised it I'd be like "Ha ha! So and so did that!" But what if the S man stole it from someone else in the first place? Not that I think he would need to!
I think copying an entire mix in the privacy of your own bedroom is a bloody good idea if you're a newbie learner-licence DJ. Learn from the masters. Worked for the Renaissance painters!