When you select sky textures in Radiant, you'll get lots of textures in you texture window. Some on them look like skies and sceneries already, but unfortunately, those are not the ones you are going to use. Instead, you must select one of those tiny, black and white squares (shaders) that give no information about the actual scenery, except their name. Although you may guess something based on the textures with similar names. Then paint all (visible) sides on your skybox with that same shader, no need to worry about directions.
Yet, it depends on the shader itself if it gives or not any light to your map. For some shaders has the ability in its settings where another may have been set dark, nonluminous. In order to find out those settings, you must try, or use ShaderED.
There's one (good) tutorial right here:
It actually tells how to make your very own skybox, but then, that's only good, isn't it?
EDITED: Well, there seems to be some basic tutorial also.