Normally I would use a soft graduated neutral density filter (3-stop or 2-stop) if I am worried about the sky blowing out, but when I do a screen capture of this image and load it into Adobe Camera Raw, the sky is not blown out, but the shadow detail is crushed (shown in the blue areas). The highlight clipping indicator shows no highlight clipping, so you have a bit of headroom.
The lighting conditions are already giving you a fairly monochromatic image and in my view, this is more effective than doing a monochrome conversion.