I'll try my best to explain it in my native tongue.
To make sky clips, just make a brushes around the map. So basically it will be like you are making a wall there. Wherever you want the player to stop moving because they hit the invisible "sky", make a wall there.
Then, apply the texture SKY to those walls. They will all be solid blue. (They won't look like that ingame, don't worry.)
Just make sure you don't have any empty spaces which would cause leaks in the map.
Now, for the details on the sky. While the map loads, the sky you select will be rendered onto the SKY texture. The details of the sky you see in game is called a sky box. The default sky box works well for most maps, but you can change it.
Click on the Map menu in Hammer, then Map Properties, then in the Environment Map (sky box) attribute, type in the name of the sky you want. All of the default Half-Life sky boxes, along with their names, are listed here. (http://collective.valve-erc.com/index.php?doc=1037472496-69804100)
ESF also comes with its own skyboxes. To see this, you will go to your ESF folder, then go to the gfx folder, then the folder named env.
In here you will find a lot of TGA files, these are the actual pictures that make up the skyboxes.
As an example, you will see birdofpreybk, birdofpreydn, birdofpreyft, and others. To use that map, type birdofprey in the Environment Map attribute in Hammer. The same goes with any other skyboxes in that folder.
Hopefully that was clear enough, as for me, I've typed too much.