This is from the manual....
The sides of the sky cube are drawn at a distance of Camera.clip_far from the viewer. The sky z parameter can be used to move the cube up and down. The x, y, angle, and scale parameters are ignored.

The sprite image must consist of 6 adjacent square frames in the following order: west, north, east, south, down, up. Thus its file name must end with '+6' and its width must be six times larger than its height. Each frame should be a power of 2 in size, like 512x512. The frames must be tiled in a way that they can be wrapped around a cube. Compressed images (DDS) can not be used for sky cubes.

A lot of sky cube images can be found at game artwork pages like http://www.wadfather.com. The sky sprite image can be put together by adding the single cube images in the order bk, rt, ft, lf, dn, up from left to right.

SKY* mountain_cube =
{
type = "mountains+6.tga";
flags = CUBE | VISIBLE;
layer = 2;
z = 30; // move 30 pixels upwards
}
-----------------------------------
SKY skycube =
{
type = "sky_large_1+6.tga"; // the image for a backdrop scene
flags = CUBE | VISIBLE; // sky cube, visible
}
--------------------------------
In c-script: sometimes, when i can't see the skycube, i use the WED, insert a hollow cube, set the corresponding flag to sky, insert the sky image in to the wad via the texture manager, apply the texture to the cube. thats all.