https://dl.dropboxusercontent.com/u/2300830/cubemapsky.jpg
That is my approach.
This may need further tweaking. You will have issues with animation also if you do this (it is cubemap, hard to animate things in that).
The attaching a sphere thing can work fine also. Players would not hit each others spheres as the sphere movement would be client side only. The depth rendering you work around by just making the sphere so huge that it always is behind everything else.