Don't forget that you can always borrow techniques from other masters. You don't have to re-invent the wheel. Blogger David Apatoff, at Illustration Art has written an interesting post on Rembrandt's treatment of the sky in his etching - 'How many lines does it take to draw a blue sky?'. Awe-inspiring stuff. Don't just look, though - get that pen out and try it for yourself!
Tip: Often, we see the sky as a 'backdrop' to our subject of the building, animals or landscape that we are drawing. But the sky can be an important part of a composition. It is the light source, even at night, and can dramatically alter the mood of a drawing. You might like to try creating a drawing where the subject is the sky.