Hi John, a Polarizing filter may help with darkening the sky a bit, however they also tend to add some gradation when used on the sky, but a CPL is very useful for addressing as Craig noted reflections, so I think it would be worth picking one up in your most used filter ring size. Shooting a dark blue sky has to do with exposure, if you can get the sun behind you that helps as a bright day will introduce so much light that by the time you expose what you want in the foreground properly the sky is washed out to light blue, or worse sometimes white. The issue is not adding light as grain mentioned it is underexposing. If you set you camera to bracket expose, you will notice the darker sky will be under exposed from what the lighter sky was. If subject of the shot be it person or object in foreground it is probably several stops darker than the blue sky. So if you expose for that subject the sky will be washed out compared for example a hill is being lit from sun behind you and the sky behind the hill is closer to the hill in exposure.
