Hi Goran,
Most of your questions are answered in the documentation.
Seee skinning info here: http://www.mojoportal.com/creatingskins.aspx
Data/skins is just the library of skins, when a new site is created a copy of those is put in the site specific folder /Data/Sites/[SiteID]/skins
This way skins are not shared between sites as people my put alot of effort into a skin and not want to share it with other sites in the installation.
Unfortunately the Visual Studio design time story is not very good because at design time it doesn't have a way to know that at runtime the skin comes from the site specific folder. So designing is pretty much edit css and refresh the browser. But the css is combined, minified and cached on the server and also cached in the browser. So while working on skins its best to disable Minify and caching as indicated here:
http://www.mojoportal.com/important-skin-changes.aspx
Also developer documentation is here:
http://www.mojoportal.com/developerdocs.aspx
Hope it helps,
Joe