For this tutorial, you will need an image with a sky you want to modify and another one with the sky you wish to use instead.
1 - In Photoshop, open the image you chose. Then, “Duplicate” your Layer (Command/Control + J) and Turn Off your “Background” Layer for now (click on the small eye icon on the left side of its Thumbnail).
2 - Double-click on top of your duplicate’s Thumbnail to open the “Layer Style” Panel and in the “Blending Options” Tab, select “Blue” from the “Blend If” field and move the right-hand lever from “This Layer” to the Left until the “Sky” starts to disappear. Depending on the amount of blue present in your sky this will be more or less accurate. To make a smoother transition hold the “Alt/Option” key to split the lever in half.
3 - Click on the “Add Layer Mask” button at the bottom of the “Layers Panel” to create mask in. We will use it to clean up the rest of the sky.
4 - Select the “Brush Tool” (B), make sure you are using Black as “Foreground” color and a give it a large size. Delete as much sky as possible.
5 - Reduce the size of the brush to clean up the edges.
6 - It is possible that some portions of the image that you wish to keep disappeared with the “Blues” adjustment. To fix it, Turn On your “Background” Layer, create another “Duplicate” and add a “Layer Mask” to it but hold the “Alt/Option” key while you create it to “Hide” everything (the mask should be Black).
7 - To have a better view of the spots that need fixing, create a “Solid Color Fill Layer” under the one you just masked. Do it by clicking on the small Black & White button at the bottom of the “Layers Panel” and choosing a bright contrasting color as “Fill”.
8 - Select the “Mask” and use the “Brush Tool” (B) with White as “Foreground” color to bring out the parts that require it. Zoom in to check the edges and details.
9 - Open the image of the “Sky” you want to add and drag it into your Document. Lace it in between your two masked background duplicates, resize it using “Free Transform” (Command/Control + T) and place it in the proper position.
10 - Create a “New Exposure Adjustment Layer” on top of everything, clip it to the “Layer 1” (click on the small button at the bottom of the “Properties Panel”) and adjust the settings to make your image more bright and similar the new sky.
11 - Create a “New Vibrance Adjustment Layer” on top of everything and crank the “Vibrance” to +100.
12 - To make the edges between the horizon and sky a bit smoother, use the “Blur Tool”, make sure you are working on “Layer 1” and use a small brush with a 9% “Strength” to do so.
13 - Your Artwork should look similar to this.