The simplest way to do this is to create a folder with your new skin in ckgedit/ckeditor/skins. Follow the fromat you find in the other folders. Then open ckgedit/helper.php and at about line 100, you will find this:
$ckg_gui = $this->getConf('gui');
Comment out that line and substitute for it:
$ckg_gui=<the name of your folder>