Eventually they began to understand that you are not really darkening the sky, you are in staid lightening the land/ The key is to think that you are using the graduated filter to reduce the exposure range into something the camera can cope with so that you don't end up with blocked shadows or blown out highlights.
I said I would create an example for them to show the effect of using a graduated filter. The below images show the rather subtle effect of a 0.6nd grad in use. Moving your mouse over the below should show the effect of inserting the filter:
|Mouse over to see before and after|
Hopefully you can see that we have slightly darkened the top left corner of the image and brightened the right horizon area by using the graduated filter at a jaunty angle like this.
|ND Grad Position|
Here are the before and after images in case the mouse over doesn't work for you. Try opening them in seperate tabs of your web browser & switching between them.
|Before - No ND Grad|
|After - With ND Grad|