After looking at the manual, it looks like gamestudio renders the sky after all solid entities, which does have the advantage of less/no overdraw for the sky.
So in your case you may just want to disable writing to the depth buffer for the sky and render it with a kinda small radius.
technique tMain
{
pass
{
ZEnable = true;
ZWriteEnable = false;
VertexShader = compile vs_3_0 VS();
PixelShader = compile ps_3_0 PS();
}
}
and just use a radius of 1 or whatever you want. It should work just fine, unless I am messing things up...
And no, I have no idea if there are any tutorials about this.
Edit: That´s only if you want the sky to behave the same as a gamestudio sky cube. But then you also have to move it with the camera (what you already do), or make the shader ignore the translations.