How do I use multiple skys?

I've seen people use skys that vary on each level.
For example, map01 will use sky 1. map02 will use stsky8. If someone could tell me how to do this, I'd be very grateful.

What you're seeing is the feature of some source ports. In ZDooM, for example, the MAPINFO lump allows the use of different skies in different levels. The use of skyboxes in ZDooM even allows the use of different skies in the same level.

You can find information on the MAPINFO lump here. An example mapinfo lump would be something like this

map MAP01 "Some First Map!"
next MAP02
sky1 somesky1 0.0
cluster 1
music D_RUNNIN

map MAP02 "Some Second Map"
next MAP03
cluster 1
sky1 somesky2 0.0
music D_STALKS

You can type up the MAPINFO lump in any text program (such as notepad), and save it as MAPINFO.LMP. You can then insert that lump into your wad file using a lump editor such as XWE.

Thank you very much for your help guys!