Why in Sam's Hills would they have to be done in Milkshape??
You don't need an over complicated dome (aka half sphere). 8 sides are plenty and you can follow the tutorial here on massassi for making a dome. All you have to do is scale by -1 to make it inside out and you can even delete the bottom surface (since it would never be seen anyhow).
Then you have two options:
Option 1
This technique will render a Battlefield 1942 skydome effect.
You can use Terragen to make a skydome texture. Search the editing forum for my name you'll run across where I've described in detail how to do this. You basically play with the sky and sun parameters until you find something you like, uncheck the terrain rendering option and then move the camera way far underneath and then point it straight up. Render the preview in a res of 256x256 (or higher if you want to fool with splitting to make it higher resolution), paste it from your clip board into your favorite paint program and then export it as a .bmp and convert it to a mat (Mat 16 with the dither feature on would work nicely).
The thing here is that the clouds don't move.
Option 2
This technique will render a SWG (Star Wars Galaxies) skydome effect.
You can do the same thing above with just removing clouds. Or, you can use custom textures. Basically you just want to make a texture (or textures) that will blend the horizon color with the primary color of your sky (typically being gray to blue during mid-day or red-orange to purple during evening...assuming you're not doing an Alien type planet where the sky is typically green or whatever).
Then what you want to do is cleave a surface perpendicular to the ground about 1/3 of the way up. This is your "cloud" layer. You'll need to create a tileable cloud texture, make it transparent, and then use a conveyor cog to make it scroll.
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There's some advance things you can do above and beyond that, but I'll let that soak in for now.
