This is what Richdiesal's tutorial says about making skies:
"To utilize a sky shader, all you need to do is apply the sky shader from the Texture Browser to any given surface. Many people have a preconception that you need to actually draw a huge box around your map. This is incorrect. By doing that, you will increase your compile time by astronomical amounts as well as prevent the engine from catching any leaks you might create. While that last part might sound like a good thing, believe me, you want to know where every leak in your map is so that you can fix it - you don't want to just cover them up."
So you don't have to and you should not create a box, let the engine handle that.
The whole tutorial can be found at:
You can get all your textures visible by extracting assets0.pk3 to gamedata/base directory. Some shaders appear as checkboxes in radiant but they will show up ingame. Note that in after extracting assets0 you will see all sides of skies in radiant's texture browser. However, do not place sky TEXTURES on your map, use sky SHADERS(checkboxes). Try making a simple cube and just apply one of the sky shaders to the ceiling, skies/yavin for example. Then do the same with a sky texture, skies/yavin_up, and you will see the big difference between texture and shader.