Are you putting the sky texture on a wall? If you are, then that isn't the right way to put up skies. You do F_SKY1 as the ceiling texture of most of the level (exceptions can be something like cave areas, much like the emerald token place in GFZ1). F_SKY1 should also be on the ceiling of the thok barrier. Then you set up the sky number in your map header and you should be good to go.
If that isn't the problem you are having, then upload a png of the sky and post it here.