when you created your weather cycle in the sky maker, you gived a name to that cycle, right?
when you go the map maker, you go the world (I think) and their you have 2 place to enter your skies. one for the sky and one for the wheater cycle. just type the exact name (so also capitals, otherwise he will not find it) into the right place.
when you export your map, he will automaticly export everything related to that map, so also sky and wheater