If I got to Options -> System and set SKIN_DEFAULT to 'custom' it doesn't seem to actually have any effect.
Meanwhile, under Options -> Display if I set the skin to 'custom' and hit save it also has no effect, and the next time I load that page it will be showing 'classic' again.
The only way to actually see my custom skin is if I affix '&skin=custom' to the end of the URL.
Edit:
I've found that this only seems to be a problem for me when using Firefox. It works in Chrome, but unfortunately I need to view more than 6 monitors so need to use Firefox so I can set the max simultaneous connections to the same server to over 6.