The term skybox has two meaning, one thanks to noobs who didn't understand teh proper meaning.
http://www.cs-maps.jolt.co.uk/index.php?page=skies.htmhe only tutorial you'll ever need, it explains perfectly what to do, and what not to do.
Sky in HL is deceiving, the texture is merely a trigger (so to speak, more of a platform..) that tells the game where to render the skyname.tga
The noobish thing to do is make a big box around your whole map and texture it with sky.
Remember to keep areas where people would want to throw grenades clear, such as dust2, entering B, there is a bug because davej didn't think people would want to flash the whole place..
But in italy, the whole map is open, allowing for some great flashbang/HE moments, but it works because the level is pretty low poly overall, and the houses are so high, there's no way the player could see much up there, I also have a feeling he may have hinted the rooves, but I can't confirm that.