Note that for many things its better to go for the custom folder, as it will allow you to put all the content for your map into just 1 folder. Skybox textures for example do work when put there.
The path by that becomes
c:/program files (x86)/steam/steamapps/common/tf/custom/randomname/materials/skybox/
where for randomname you can put any name, its simply to keep the files apart in case you would use 3 diffirent mods for for example the hud. I would recommend giving it the name of the map.