Diana
a polarizing filter is much better at darkening blue skies and adding a bit of color saturation with more direct light. Late day shooting tends to filter the sun through the atmosphere and you don't get the same effects with a polarizer.
You might try a graduated neutral density filter to darken the upper part of the frame and leave the lower portion lighter. You can obtain the same effect in Photoshop but it tales a while figure out the masking and layering process.
Also, you can create it with a modified HDR effect by bracketing the exposures (3 or more) and then blending them either in Photoshop or in Photomatix. You can also do some tone-mapping on a single image in Photomatix which will let you darken the sky. There are a number of software solutions to this problem but if you want to solve it in the camera, a graduated neutral density filter is the best solution.
Jim