I remember changing it - but I just checked and turned out there was a bug in it:
you will need the fresh new (and not yet official) Build 1926 from the Patches.zip
the process now is:
in the editor use the console command to SKYNAME to set the skybox
e.g. SKYNAME city5
then you will need a directory with that name in the custom folder
e.g. custom/city5
(or custom/sky/city5)
(it will only be visible ingame)