There is no sky.WAD. Skies are not textures; they are in .TGA form. They are in your ESF>GFX>ENV folder. They come in the format [skyname][positioning (ft,bk,etc)].TGA. You add a texture called "sky" where you want your sky to be. The texture is baby blue. Go into your map properties (in one of the toolbars) and go to skyname and put in just the skyname. If you put in the right name, it will show up; if you make a typo, it will show up as the default backround which is a desert, or if you play a different map then go to your map, it will stay the same backround as the previous map.
Phew...