A direct copper to copper connection could well damage the SA, unless one were sure before doing it or relied on the weak and unintentional radiated power. Maybe more expensive SA's have protection built in, but there have been some comments posted on forums about the potential to damage the inexpensive ($1500) Rigol SA with overload.
Correct, connecting anything which outputs more than a few 10s of mW will fry the input circuits of a spectrum analyser.
Say we were testing a transmitter which had an output of 100watts.
We would connect the transmitter to a dummy load via a 30dB coupler.
The coupler will create a tap and direct 100mW of power towards the test equipment.
100mW is still a bit much, so maybe put a 20dB attenuator between the coupler and the test equipment.
We will now have 1mW to feed into our spectrum analyser, frequency counter, modulation meter, oscilloscope or w.h.y.
Connect it up like this:
(No, that radio will not produce 100Watts!)
The insides of the 30dB coupler:
A couple of 20dB in-line attenuators:
And a couple of dummy loads.
A Bird "Termaline" coaxial resistor as they call it, rated at 50 Ohms 50 Watts, and a home made one which is fan cooled rated at 50 Ohms and 100 Watts (ish).
JimB