It's simple! ^^

To make a sky-sphere or dome:

Go to MED and create a sphere. Get your sky texture and apply it to the sphere ( like you would any other object). Create a 2-sided mapping (you might want to play with it a little; but I found TOP to work just fine). Then select the sphere and press flip normals. Place that model in WED and scale it to be big enough, and there is a skysphere.

To make a sky-cube:

Create a cube that is bigger than your level/stage/map (it doesn't HAVE to be hollow). Apply your sky texture to it, and go to the texture properties. Select SKY in the various tickbox options in the menu that should have popped up.