If you are adding new skies (.tga's) then you include them with your map, and use the gfx/env folder to get them to work.
You can thief HL skies and just copy/paste them into your CS folder, so an alien (Xen) sky in HL! Super Rad!
Remember you need all the skyname.tga's in the gfx/env folder for it to work; there are six .tga's: front, back, left, right, up and down. This is why you can see little crack's in the skies when you look at them, such as a thin line going down.