During the magic hours around sunrise and sunset, you'll enjoy a splendid display of color in the sky. Meanwhile, your subject will likely be in heavy shadow. If you properly exposed the subject, they sky would become pale, or even washed out. One simple option to retain the vibrant color is to create a silhouette. This is especially useful with moving subjects when HDR is less than ideal. To do this, simply expose for the sky, and let the subject's tonality fall to black.
To fine tune your vision, give yourself an assignment where capturing a specific color is the only goal. For example, head out for a photo walk with no specific objective besides "red". Rather than looking at subjects literally, you will be thinking in color. By studying the world around you with this in mind, you may be surprised at just how many opportunities reveal themselves. With practice, you'll soon recognize color as an essential element of composition.