Well you asked how to change the sky if you use tools/sky tex so...
In the menu under file>map properties (is that right?, sorry, away from home PC)
It will have a box that says sky texture. The name goes there.
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For future ref (anyone finding this thread) I was having a few issues with lighting yesterday so I'll add a list of things to check.
1: You should have ONE light_env. I know a skybox tut on this sight (which is a great tut btw) say to have one in your map and one in skybox, but that leads to a 'full bright' effect no matter how dim they are.
2:Some objects can cause big blobby black shadows. The barb-wire fence is like this. Best to have no-shadows. Might be possible to make shadows for the posts with no draw cubes, haven't tried yet.
3:NOT having ground in your skybox can let ambient light cast upwards on skybox terrain and make stuff look overlit or improperly lit.
Even if the ground can't be seen it should probably be there to block ambient light anyway.
4: Using NO DRAW on brushes in skybox can cast weird shadows. Best to use 'INVISIBLE' instead of no draw in sky box.
I think that covers what I learned in a frustrating multi-hours session yesterday, hope it helps...