Another neat trick to stop the skies blowing out is to look at the metering. What has happened in your pic is that the majority of your shot is made up of grass. Now the camera has looked at the scene and has gone "OK I'll average that" and come up with an exposure for the grass. Hence the sky has blown.
The best way to counter blown skies is undoubtedly to use an ND grad. There are methods you can use in PS that allow you to recover some detail in the sky while keeping the foreground exposure right. (This is what some of the other posters were referring to when they said that some more experienced members use PS to get it right)
The other thing to have a look at is using the camera metering a bit more to your advantage. If you tilt the camera a little more skywards it will change the metering as you have included more light into the image. This way your sky won't blow so much but your foreground will be a little under. This is a lot easier to recover in PS.
This all comes with experience and just learning those little tricks to help out when conditions are not as favourable as you'd like.
Keep at it, it takes time, patience and a heck of a lot of binned shots. Each time I try something new it's back to the start of the learning curve again. Each time I've picked up a new camera, back to that learning curve again. That's half of the fun of it though and I'm forever looking for new shots to try. This place is a lot of inspiration too.

The best way to counter blown skies is undoubtedly to use an ND grad. There are methods you can use in PS that allow you to recover some detail in the sky while keeping the foreground exposure right. (This is what some of the other posters were referring to when they said that some more experienced members use PS to get it right)
The other thing to have a look at is using the camera metering a bit more to your advantage. If you tilt the camera a little more skywards it will change the metering as you have included more light into the image. This way your sky won't blow so much but your foreground will be a little under. This is a lot easier to recover in PS.
This all comes with experience and just learning those little tricks to help out when conditions are not as favourable as you'd like.
Keep at it, it takes time, patience and a heck of a lot of binned shots. Each time I try something new it's back to the start of the learning curve again. Each time I've picked up a new camera, back to that learning curve again. That's half of the fun of it though and I'm forever looking for new shots to try. This place is a lot of inspiration too.