It is actually quite easy. A sky is just a 256 x 256 pixel .bmp file. You need three versions of it: a daytime sky, a stormy sky (darker) and a nighttime sky (darkest version). If you download one of my skies, such as "GF_Sky02" and open it up you will find a short config file which you are free to copy, just changing the filenames and kuid numbers. Also copy and reuse the texture files, changing the filenames as needed.
The tricky part is the .bmp image, which must tile perfectly or you will have strange lines moving in the sky as Trainz displays several tiled copies of the image at a time.