Is there any way to have a 360* sky sphere? Or should I just create & texture a sphere and then throw it in?

Yes, you could create and texture a shere, but the easier and better way is to create a sky box, with a texture that looks like this:

Read the manual for further information...

Yes you can use a sphere fine, like in space-ship games.
Sky, stars, nebulae in all directions as far as the eye can see.

Only works as well as your texturing ability...
Mines awful with spheres unfortunately.

EvilSOB: I'm going to go ahead and use a sphere, because this is a space game. (Cubes do not work well for space games in my experience)