How I do it, and apparently how Sonic does it... is I load my 6 skybox faces as textures... then create a cubemap object... then load the 6 faces in the cubemap.
Note: Rotating/Reflecting the cubemap faces into place was a test of patience for me... tweak in Photoshop... reimport to UnrealEd... hope it doesn't crash... refresh the cubemap... repeat until correct.
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