Suppose you have two pieces of land on adjoining sims and you want to build a skybox in the intersection of those sims. What happens is that when you cross to the other side, you’ll fall through the floor as everything on another sim seems to be rendered in phantom mode to save resources.
This trick should create a way around it.
Two-prim bridge
The idea is to load a prim that connects the two sims before your avatar has entered the other sim. You create an object on one side of the sim crossing line and slide it over to the other side so it goes a good way in, but the center must stay on the loading sim. When your avatar steps on it, the prim has already been loaded, and you walk over while the prims on the other side under your feet will load in. You repeat the process on the other side, so if you start from that side, you can cross over safely. (Ominous.)
I’ve created this very ugly image to illustrate the idea. In use, you’d make both prims transparent or design your floor so it will fix the issue invisibly.
(And why on earth would you want parcels on adjoining sims, you might query? Because of the 44 avatar on Mainland region limit. You have two adjoining parcels on adjoining sims, you get 88 avatars on a region. Obviously not hogging it all from your neighbours, because you’re nice.)