I tried that method described by yaniv and indeed it doesn’t render cubemap like BI does 
EDIT:
So I got skybox from Blender Cycles into my game:
Sad that it’s not possible to do straight rendering into 6 images. What I did was render out fisheye panorama:
I used 2048 x 2048 image size, but it should be larger if you need 1024 x 1024 skybox.
Then I used HDRShop v1.0 (free one) from here: http://www.polycount.com/forum/showthread.php?t=130228 to convert “mirror ball” into vertical cross skybox:
Sliced it in GIMP, adjusted certain projections as indicated on the image, and re-scale it to be 512 x 512 (didn’t want to mess with larger size and re-render).
I definitely wish Blender would just render into skybox images (6 separate images)
P.S. Cubemaps conversion “guide”: http://viewportshader.com/help/XS2Help/Creating_Your_Own_Cubemaps.htm