You want to create policy for the consumer version of Skype on the ProxySG or Advanced Secure Gateway(ASG) and you require the URLs used by Skype.
Note: This does not apply to Skype for Business. For URLs and IP addresses for Skype for Business, refer to What are the Microsoft Office 365 URLs and IP address ranges?
The URLs used by Skype are as follows (as of February 2017):
See About ProxySG Policy for more information.