The words about "sailing away," and "southern skies" are contained in an early paragraph of the story.

The hibernatorial ambitions of Soapy were not of the highest. In them there were no considerations of Mediterranean cruises, of soporific Southern skies drifting in the Vesuvian Bay. 

These are not metaphors. They are allusions to one kind of advertising that would be commonly seen at this time of year in newspapers, magazines, and on travel posters. O. Henry took it for granted that his readers would be familiar with the pictures and copy intended to arouse a desire to get away from the cold northern cities and relax in the southern sunlight. Soapy himself would have seen many such ads because he collected piles of newspapers that others had read and discarded. But such "hibernatorial ambitions" were naturally out of the question for a homeless man like Soapy, who slept on a park bench blanketed with piles of newspapers containing such tempting words and pictures.

There are many metaphors in "The Cop and the Anthem." The second paragraph of O. Henry's story is laden with fanciful metaphors.

A dead leaf fell in Soapy's lap. That was Jack Frost's card. Jack is kind to the regular denizens of Madison Square, and gives fair warning of his annual call. At the corners of four streets he hands his pasteboard to the North Wind, footman of the mansion of All Outdoors, so that the inhabitants thereof may make ready.

O. Henry is comparing a dead leaf to Jack Frost's calling card without using "like" or "as." Jack Frost is a mythical figure who flies about painting the leaves in the fall and early winter.