No, you do not. Put your camera in an angle in which you can see the sky. How to do this? Keep CTRL pressed, right-click in the middle of your screen (keep the right mouse button pressed) and drag the mouse arrow to the top of the screen (just below the Tools, Advanced, Module, Help tabs). Then hit K on your keyboard.
If your mouse has a wheel, you can hit the wheel to reset the camera.
EDIT: Careful not to make the screen spin. ;P