You can't request a new sim via here as we are customers who help each other so you will need to contact Sky to do this and when you do you will need to inform them that your phone has been lost so they can block it.
And you might want to register the stolen device here:
https://www.immobilise.com/
Depending on what phone you have it might also be worth checking here to see if it can be located:
https://support.apple.com/en-gb/HT201472
https://support.google.com/accounts/answer/7177579?
https://www.samsung.com/uk/apps/smartthings-find/
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