A simple trick...

Demi de Pas Lighthouse, originally uploaded by Photomage.

When taking photos towards the end of the day, when the light is warm, don't use "auto white balance", set the white balance to daylight.

This will preserve the warm light tones in your photo. Auto white balance will attempt to correct the orange tones and turn the sky white, which is no good.

If you shoot in RAW mode, you don't need to worry about this setting when you shoot the photo, because you can pick a white balance setting when you process that photo on your computer.

This photo was only processed a little using Canon's Digital Photo Professional software. So, it's pretty much as seen by the human eye.