You don't change it in-game. Although you set what file says what is what for the skybox.
Here's how:
1. In the sky datablock (Located inside the .mis file, open with notepad) set materialList to "./sky.dml" or whatever the .dml file is going to be named.
2. Then create the .dml file, name it appropriately, open with notepad.
Name each line the name of the file (Don't include .extensions, must be .jpg files) that goes to the appropriate line. I'm unsure exactly what the 7th line is, but you can't just leave it empty, so create a small black image for this one. (Attachment)
Example:
Sky_North
Sky_East
Sky_South
Sky_West
Sky_Up
Sky_Down
Sky_7