Yes there are a few things you need to prep and naming is the main key point.
The best thing to do is copy over a working skybox folder and rename it what you want it to be.
All the files inside that folder need to be the same name.
You will need the 6 cube textures in .dds format with the proper names of what they are.
open the x file in a text editor like notepad. It is in ascii format and is readable in notepad.
Find the 6 instances of the texture names and change them to your new texture name. Be aware of which side you are replacing, because the z file is set with the textures on the proper side of the cube.
Erase the .dbo file and restart Game Guru. This is a must or the new skybox will not work.
Test the sky in the test game editor and be sure the seems are matching up as they are support to.
You may need to do this a couple of times to get it right.
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