Give your definition of "PSing IN a sky"...
For my automotive photography, I've often taken up to 3 exposures but NOT done an HDR from them, rather combining each part that's exposed correctly, like the sky in one, the top of the car/background in another, and the front of the car/foreground from the last...then put them all together in PS via layer masks and such. Obviously done on a tripod.
With people or other moving subjects, OCF/Proper placement/simplify the background is my method. I've never "faked" a sky in a portrait.
Come to think of it, I've never "faked" a sky that wasn't there to begin with, just clever use of post processing the same scene.
My $0.02