Step 1: Find the high-res 360 panoramic .hdr sky that you want (you can find some free ones here) (if you can find one elsewhere and download it as .bmp or .png, you can skip some of these next steps)
Step 2: Open the file in HDRshop and export it as a .bmp
Step 3: Convert it into a .png via a image editing program of your choice
Step 4: Upload it to this site which will convert your panorama into the 6 images of a cube we want! This site is so useful.
Step 5: Use the instructions on the valve development wiki to implement your skybox into your game! Be careful though, as the naming conventions the tool uses and what the game uses are different:
front.png -> your_sky_namert
left.png -> your_sky_nameft
right.png -> your_sky_namebk
back.png -> your_sky_namelf
top.png -> your_sky_nameup
bottom.png -> your_sky_namedn
Follow the instructions on the wiki carefully! That's it! Have fun making custom skyboxes
if you have trouble you can post here for help.