Just slab on a gradient that has a deep blue at the top and a lighter blue at the bottom. That's the simple way
If you have Maya you can make some REALLY cool sky shots (among other things ) by using the "Visor" to draw on things such as clouds. Maya takes care of the rest.
Mike
"Now I guess we're... 'Path-E-Tech Management'" -Dilbert
If you want to make bitchen sky backgrounds, download a program called Terragen from http://www.planetside.co.uk, then use your favorite graphics program to chop off the land part of it. It's totally free and gives some stunning results.