in worldcraft click on 'map'
then click on 'map properties'
then at 'sky' fill in the name of the sky:
for example: 'dusk' or 'night' or 'xen' (those are some sandard HL skies)
IMPORTAINT: if you make a map, put a wall over it with the texture: SKY
make sure that this wall goes around the whole map!!! (or else you get leaks an the map will crash!!