Hey Shaggy, I had a real nightmare trying to work skyboxes out, the confusing thing is there are actually two types you can use, entity or shader, I've not used the entity type yet but the way I managed to figure out the shader was to make a box with a sky on to simplify the problem and make compiling the test versions very quick. Here is my skybox test pk3, it makes the whole issue more clear. Just read all the bits to work out hows it's done and substitute your own, sky and path names etc etc etc..
Hope this helps
http://www.mediafire.com/?31ztowj9owh
Actually generating the skybox images is another kettle of sardines.
good luck (: