In order to clone a disk, you absolutely should unmount all partitions. All modern desktop OS' have many services running in the background that write to the OS partition, and may also periodically write to other mounted partitions (even those on other disks) for whatever reason. The writes may be small and few, but any writes -- especially those involving filesystem metadata -- will wreck havoc with your cloning.
Typically one clones entire drives by booting a Linux Live CD/DVD/USB Key (pick any distribution you like, I prefer Mint for this kind of thing). This way your hard drives can remain unmounted.
The command you've got there will work fine, but as it stands, if a sector can't be read for any reason, dd will stop. You may want that behavior, or you may want it to continue... up to you. Arch has excellent documentation on disk cloning and they recommend something like this:
# dd if=/dev/sdX of=/dev/sdY bs=512 conv=noerror,sync But read the documentation, especially around adjusting bs to higher values, as that can have a significant impact on cloning speed. If you want dd to stop if it encounters an error, remove the conv=noerror,sync part.