Make sure to place a few
env_cubemap entities throughout your map, and then run the
buildcubemaps
command through the developer console. Building cubemaps takes a while, so it's best to only do this for final releases of your map.
Depending on the game, the map file may already have blank cubemaps in it when compiled which are
not overwritten when building cubemaps, so you'll have to manually delete the cubemaps first. This can be done through a BSP pack lump editing tool such as either BSPZip or a third-party GUI tool like VIDE.