Here's some tips on using the skyboxes that came with DarkMatter - they are much better than the skyspheres I have found.
Firstly - put the sky in the same position as the camera, and if it is big enough, centre it on the floor. This is so when you jump or fall, the whole sky doesn't move with you. You just have to experiment and see what looks best.
You'll need to scale them by quite a large amount, keep incrementing the scale value and seeing what it looks like in game, with a skybox you'll need to be able to look at the corners and not have the corners disappearing out of the camera range.
You'll need to set the objects sensitivity to fog and light off, otherwise the fog will obscure the sky, or you'll get strange shading effects, as in different sides of the box will be at different levels of darkness with really obvious joins in between.
Once I was but the learner,
now, I am the Master.