Hello graphiac,

it depends on how far you want to take the effect really. If you're wanting a sky for a background, you just attach any image to the rendering camera or you could use an HDR image attached to an image based lighting (IBL) node.

If you wanted to animate something flying through the clouds you'd need to make the clouds using fluids. If you search in the Maya help menu (f1) for 'non-dynamic fluid effect' within the Learning Resources results there should be 3 options for Introduction, one of these links will take you to a tutorial on how to make a cloud bank.

good luck,

Mat.