When you download them, they go right into your skybox folder.
All you have to do to get them into your level is simply go into the Build Game properties window, from there...
The "Level Settings" tab: then the "Global Settings" "Edit" tab: and then the box that says "sky", click whatever the previous skybox is, which should take you into another window with a list of folders like "ww2" and "scifi".
The skybox's you downloaded will be in there somewhere, in one of the folders. Just need to find it, and double click the file inside the folder.