When you click OK to commit the sky replacement A layer group will be added to your document the contains layers. One is a masked sky replacement layer. There are also other layers for adjustment colors and haze. It depends on how you made adjustments within the sky replacement tool. You have complete control over the the group the replace sky layer as well as the other layer in the sky replacement group. You can make any adjustments that you wand and you can save a document containing the sky replacement. Its all up to you. The Sky replacement feature does not save a file.