I suppose you're referring to Photohsop's Lens Blur filter. I generally leave it alone, as I don't typically add a ton of blur so most of the sky isn't affected. Though if you think of it, whatever the lens blur setting is set at, would appropriately affect the most distant element, which is the sky.

For those interested, I have a Lens Blur tutorial at:
http://www.altuit.com/webs/altuit2/VueStepbyStep/AddingDOFinPhotoshop.htm