There are a bunch of tutorials on you tube for texturing a cube most all of them require you to mark seems on the cube or sphere before unwrapping it.
Once you do that blender has another tool that will let you subdivide it down to a sphere.
If you just need a sky sphere specifically though i have class that will generate one programmatically. It will generate the uv's proper to wrap a standard skybox texture onto it. It also generates the normals and can flip them as well for spheres or for a skysphere as well as finding the tangents. (from which you can find a binormal if you so desired from the normal and tangent, in order to apply a normal map to it, i do it on the shader though). It works by tessellating a cube so you can set the lod.