The more common method of making the sky very dark, almost pure black, is to use a graduated neutral density filter.
But an expensive filter like that is not always needed.
Look at this photo.
Composition like this is ideal for a graduated neutral density filter. But I did not use one. Instead I relied on the dynamic range of the camera’s sensor. I keep my camera on RAW, which gives me far more flexibility during processing to recover highlights and shadows.
So inside of Lightroom I used the Black and White tool to bring down the exposure of only the sky.
A neutral density filter was not needed.