Well, easiest way IMO is to just create a sphere, flip the faces and delete the underside so it is half a sphere.
Top down- Planar map it and then go into Unwrap editor and Relax the UVs.
Then simply export it as a regular mesh and import it as a static mesh in UDK. You can then set stuff like no shadow casting or collision on that object.
[Blocked Image: http://philipk.net/other/skysphere.jpg]
Planar mapping the object will give you no seams automatically, but it can be tough if you want to paint in a city skyline or something at the horizon. Then you'd probably want to split up the UV into a side strip where you just paint your city stuff on a horizontal texture and then maybe only have half of the half sphere's top part planar mapped top down.