How not to loose the sky?
It's quite simple...just set your exposure so that the sky looks how you want it to.
That would very likely leave your subjects too dark...and then you might ask "How not to
lose the subjects?"
The first step is understanding that you just can't expose for both parts at one time, because they are so far off from each other (in terms of brightness). That's the dynamic range of the scene...and in this case, it well exceeded the dynamic range that the camera can capture (while maintaining high image quality).
This has always been an issue in photography, and photographers have always had to make these decisions.
So can you get both parts of the image to look good? Of course, we just need to overcome the dynamic range problem.
One of the easiest/best ways to do that, would be to add light to the subjects so that then are not too dark when you expose for the sky. A reflector would work in this case, but you would need a big one to light up their whole bodies...and even bigger if you wanted to light up the foreground that they are standing on.
Of course, you could use artificial light...flash being the preferred choice. A camera-mounted flash might be able to light them up, allowing you to expose for the sky and viola, your dynamic range is smaller, thus the camera is able to capture it nicely. The problem then is that you would lose the nice, soft side lighting that you have on the subject...and that is why off camera flash (OCF) is often used by photographers. It allows you to create nice lighting on your subjects and (if it's powerful enough) allows you to use exposure setting that will give you the skies that you want.
There are other ways to work towards your goal. For example, you could take multiple photos, exposing for different parts of the scene, and use software to combine them. You could selectively edit the photo. For example, edit just the sky to be darker/richer, without editing the subjects. You usually don't end up with results as good as when you use light to compress the dynamic range before you shoot, but it's certainly doable.