First of all thanks for a great module.
I'm not sure what the status is on adding the ability to configure skins with TinyMCE.
The code in wysiwyg module seems to suggest it was written what such functionality in mind ($theme variable in editors/tinymce.inc).
I found solution to "hack it" here http://ccideas.com/howto/drupal-7-wysiwyg-tinymce-is-ugly/. Even if one shouldn't hack a modules core, I think it is good to intermittently document where these settings are done, so that one can find it on Drupal.org, because this is a hack I'm going to need every time I use TinyMCE until Wysiwyg allow us to change skins in a better way.
row 148 of tinymce.inc:
theme' => 'advanced',
'skin' => 'o2k7',
'skin_variant' => "silver",