Don't know specifically about Sky Go, you could email them and ask...
but as a general rule, apps can be loaded on "All" of your iOS devices. When you get the new phone, you'll restore from a backup of your old one and the app will be there (along with any other apps you have).
Now if Sky Go only allows one phone at a time to use it, or other service-level restrictions of that nature - that's something they would handle, not Apple.