The first step is to create a mask that isolates the sky we want to replace.

I launched the mask tool, selected the brightest parts of the image, which gets the
sky just like I want, but also grabs some of the white shirts in the foreground, so
the second step is the remove those. With the mask tool still active, switch to the
subtract mode (pair of rectangles below the word "None"), and then the paint tool (second
row of icons, third from right) adjust the size of the brush and paint out
everything you do not want. Adjust the radius of the brush to make sure you paint
where you want to.

Use the "Undo" button if you make a mistake (only one undo level allowed, go slow).