How to create...? Take a photo! (I would guess most photographers already have many 'sky' photos in their library!) and upload...? click the gear icon to load a 'New Sky', or in the Sky Presets panel, click on the [+] icon- find your photo.
I’m excited to announce several new features and enhancements to Photoshop 2021 (v22) including the new Pattern Preview, Sky Replacement, and Neural Filters, and well as enhancements to Shapes, Camera Raw, Plugins, the Select and Mask workspace, Cloud documents, and much more!
There are no 'presets' in Sky Replacement. What you can do is add your own sky, if that is what you mean. You do this by clicking on the image of the current sky. In the panel that comes up, click on the small wheel icon. You can add any photo as new sky.