Not cheating it's actually bracketing
What you have done is a rudimentary form of bracketing. This is a legitimate way of taking images. In landscape photography, you set up the camera and expose for the foreground, mid tones and then the sky. This is then combined in processing. It has been done since before digital photography and most certainly before photoshop. It's not like you are taking one sky shot and applying a different location to create what is called a composite.
Shoot away mate.
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