You can... but you need to be sure you get everything you need.
Code:
cvs -d anoncvs@anoncvs.NetBSD.org:/cvsroot checkout -P pkgsrc/mk
cvs -d anoncvs@anoncvs.NetBSD.org:/cvsroot checkout -P pkgsrc/bootstrap
cvs -d anoncvs@anoncvs.NetBSD.org:/cvsroot checkout -P pkgsrc/pkgtools/digest
cvs -d anoncvs@anoncvs.NetBSD.org:/cvsroot checkout -P pkgsrc/audio/xmms
cvs -d anoncvs@anoncvs.NetBSD.org:/cvsroot checkout -P pkgsrc/misc/screen
You NEED the first line and probably want the second. The third is a very common dependancy -- you want that also. Below that, you want to grab all the programs you want and their depends.
You can simplify this in the future by creating complete .cvsignore files in each directory. I would recommend the cvsignore process from the start but there is too much of a chance you'll be too selective and miss a dependancy and then have to try and edit out the regexp which blocked it. This method above will make you get every depends by hand but also shows you how to do it.