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Well, it depends. Do you want the same sky for each level? Or do you want to change the sky for each level?
If you want to change the sky just go into build game:levelsettings:global script and there should be a item to change the sky.
To change the sky each level you would have to use trigger zones and scripts, which seem slightly advanced for you. Read this thread for scripting help.
http://forum.thegamecreators.com/?m=forum_view&t=62366&b=23
Practice makes perfect. But if nobody is perfect, why practice?
