Well first I would stay off with a decent image or take a photo of my own of a sunrise or sunset to get started and look at it for a bit.

I start up a new file and using the gradient tool and set it to a radial gradient, then picking the colors of the sky of the background (for instance the desert sunset with the stars I would pick a nice orange that would be sort of the sun or close to it and then the further it goes away from the center it would become darker blues, purples and essentially something close to black.

I then would start with the clouds if they would be further in the distance so I could possibly paint over them if the foreground calls for such a thing to occur (ie a mountain or tree that is super close and then the clouds would be essentially out of view on the other side of said mountain or tree.)

After that I would pick up a brush, I like using the chalk brush no 60 in Photoshop's default brushes and bring the opacity down to about 20-30 but I also like turning on pressure sensitivity for brush size and brush opacity and I would begin to mimic the overall layout of the sunrise/sunset scene in regards to the actual environment (ground level)

After loosely laying out the environment and large objects in the scene I begin to figure out where the shadows and highlights are placed and go through putting all that in.

Not much else other than that and adding little beauty pieces here and there :) Hope that helps.