I created a new skin htm page in VWD 2008 in the directory  "Portals/_default/Skins".  I have successfully gotten everything to work with the exception of the images showing up when I parse the skin and preview it.  In VWD 2008, when I view the skin.htm object which uses a CSS to reference the images, everything looks great because that skin folder has an Images subfolder.  The structure looks like this:

portals/_default/skins/myskinfolder which has the css, htm and xml in the root, the subfolder of images contains all the images.

Design time preview works great, but preview after parsing doesn't. 

Do the images need to be in the root of the skin folder and not in a subfolder?

 For the preview thumbnails to display in the Skin Gallery, they need to be at the same level as the skin files (HTML converted to ASCX) and they need to be JPGs.

The thumbnail image should also be named the same as the HTML (or ASCX) file.

What Sebatian is saying is that the images used in your skins can be in any directory, but need to be references approriately.

Hope this helps.