Here's how I've always done it; all it takes is a good eye:
- In the UTM, find the Stormsphere doodad and set its default scaling value to something between 2.00 and 3.00, and its tint to 0/0/0. Check the box "ignore model clicks," and drop it in the middle of your map.
- Find the Cloud1, Cloud2, and Cloud3 doodads. Set their default scaling value to something between 1.50 and 2.50, and their tint to something very shallow; for example, if you want an orange sky, try 10/7/2.
- Spam the shit out of all three of them on random scaling and rotation until your sky looks good.
You might want to check "ignore model clicks" on the sky doodads while placing, or after placing, because they make it very annoying to select other doodads.
As for the sun in the third screenshot, see my
tutorial on advanced lighting techniques. I pioneered that technique, although I must admit Azurot did it a lot better in that screenshot than I used to.
Raid1000 (first screenshot) usually did his suns with multiple sizes of Glow doodads. That's an alright way of doing things too, but I personally like the rays. A combination of the two would likely serve you best.
For stars and general tweaks to lighting, mess around with tiny Glow doodads and big, shallow-tinted Glow doodads.
You can do it all without map fog, but it sure makes it a lot easier.
Good luck!