A skybox is just a cube model with a sky texture inside of it. Just about any modeling program can make one of those. Anim8tor is a free modeling program I use. If you want to convert the models made in Anim8tor to .x, you need to export them as .3ds and use a program called DBConv (which can be found by searching this forum) to convert them. You will also need a program called UVMapper to texture the cube.
This is the process I go through to create a model for DarkGDK:
1) Create a model in Anim8tor.
2) Export the model as a *.obj.
3) Load the *.obj into UVMapper.
4) Pick the UV map that best fits the model type. (Edit->New UV Map)
5) Save the model (*.obj) and UV map.
6) Edit the UV map.
7) Load the new model (saved from UVMapper) into Anim8tor.
8) Export it as a *.3ds.
9) Use DB Conv to convert it to *.x.
If anyone knows an easier way to do it using only free programs, please post.