First you need to create a folder named
Sky_* where * will be the name of the add-on.
Then split your image that you want to turn into a skybox into six different images, as the skybox is in fact a box.
You can name these images w/e, however they should start with the name of the sky they are, to make things easier.

This is taken from Demians sky add-on. As you can see he named them respective to their side.
Your *.DML file is just a standard text file with a weird extension at the end. Within this file you need to just write down the sides in this order:
Right
Back
Left
Front
Top
Bottom
Top
And as an example, the one from the image:
starmap_rig
starmap_bac
starmap_lef
starmap_fro
starmap_top
starmap_bot
starmap_top
Then your .ATMOSPHERE file is, as before, just another standard text document. Within this file you will define how you want the lighting/fog/precipitation/etc to look like. If you look into one of these files they are usually self-explanatory.
//Tycho Starmap Milky Way
$Sky::visibleDistance 1000
$Sky::fogDistance 900
$Sky::fogColor 0 0 0
$Sky::sunational socialistmuth 0
$Sky::sunElevation 90
$Sky::sunFlareColor 0 0 0 0
$Sky::sunFlareSize 0
$Sky::sunFlareTopTexture
$Sky::sunFlareBottomTexture
$Sky::directLightColor 0.015 0.015 0.015 1.0
$Sky::ambientLightColor 0.01 0.01 0.01 1.0
$Sky::shadowColor 0.0 0.0 0.0 1.0
$Sky::vignetteMultiply 0
$Sky::vignetteColor 0.0 0.0 0.0 1.0
$Sky::dayCycleEnabled 0
You can also do a variety of other things within this file, and if you download other skyboxes you can see how/what some people do for theirs. The numbers at the end are in RGBA format, meaning Red Green Blue Alpha, where Alpha is your transparency. The textures take a file path to a specific .png file to apply the texture to. As stated before you should look into other sky_* add-ons to see what exactly you can do.