I assumed this didn't work, as the skybox material is set in Rendersettings/not attached to a game object, hence I can't drag a game object in. I tried just dragging a material on to the game object field but of course that didn't work
*edit
Also tried making a game object with a skybox component, but then I seem to require a mesh renderer component too, so I don't think the sky box will be used, but the material attached to the mesh renderer instead?