Unfortunately, skyboxes are a tricky thing to make for this game because the one nod import/export tool (milkshit) can't do anything to sky boxes becides change textures. When you load the sky box into milkshit, you wont see anything in build window (at least nothing that can be seen). There will, however, be materials listed in the materials tab. You can change those. I've seen people build entire skyboxes from scratch, but I know not what tool they used (perhaps blender or 3dsmax) nor whether they had trouble using milkshit to convert the skybox model properly.
There are a really nice skybox models made for the Lord of the Rings maps. Perhaps you can just load those into milkshit and change their textures to meet your needs.