This is a good technique however I too have had issues here, as you get the sky box to show.... (with dbObjectFogOff(skyboxobjid) I think... and then you want fog on terrain... so what happens make sense but is ugly.. and that is the fogged terrain "breaks through" the skybox as you travel. This is the same with Battlefield 1942 and the Battlefield Vietnam Redux... and .. it's not 100% ideal, but I have to say... by limiting camera range, accepting this "ugh" you can work toward keeping your frame rates up.
Now, I've tried some other tried and results vary... using things like a skydome hovering overhead, not half a sphere mind you, a flattened dome kinda... then the gap where its not "touching the ground" is just beyond the fog, and the colors coincide with my terrain fog and backdrop color... this is decent but depends on perpestive.. franky, in my REALLY large terrains, its weird, as the clouds follow you TOO much!
So, I have over time been more and more akin to sky sphere, (though I have a decent collection of sky boxes which would still work for my only feasible solution I thought of...) because of the ability to spin them etc... day/night whatever.
The idea of mine is not new... I am starting to its the only way for LARGE LARGE terrains... MAJOR MAJOR LOD implementations so the camera range can envelope a lot of realestate.... without killing your frame rates so much. To me, its seems to be this, or a modification of this maybe mapping terrain to have earth curvature to terrain rolls "down" out of view sorta on the horizon...
I know the best screenies I've been able to attain using skyboxes and skyspheres, was when I had an island that was totally visible within the skybox, and the horizon blended into the skybox... kinda far away.
So.. its a quandry, but the solutions very application to application... and one solution for game might not be right for another... so that's my 2cents.