its very simple.
you make a box, or any shape, doesn't have to be a box, can be a trapezoid or whatever.
You select your textures and set them. (For the moving clouds I'm assuming you want a sky and than clouds) add a sheet with the cloud texture. Select the texture surface in 3d view and hit f5(or right clik and click on properties) under flags tab check either U-pan or v-pan depending on which direction you want to move.
Now add some lighting.
Then open up your actor browser and goto info, and find skyzone info. Add one in the skybox.
Lastly go back to the area of your map that will display the sky. select the surface and open up properties(f5). Go to flags and check fake backdrop. Also check unlit (experiment with this I usally leave it unlit)
Tadaaaa
Oh yeah rebuild too
Things to try...move around the skyzone info in the skybox. it'll change the horizon line if you move it up or down.
The box can be any size..don't need to make it very big, ,mine are usually 256x256x512 but there is no rule. Size them according to the back drop textures you chose.
By checking the fake backdrop surface as unlit you'll make sure that your nice lighting in the skybox is not altered by the lights in your level. Sometimes tho it looks better when unlit is not checked but that usually means your skybox needs better light
http://www.birrabrothers.com/drac/dmain.asp has a tutorial that you can consult incase my speeling is too bad or I missed something. I'm sure the regs here will chip in with any infor..or better methods too. G'luck.