In a more easier to understand sense:
If you downloaded the official firmware here, or on the EDGE site, you'll notice there is nothing in the "Edge" folder but the cheats.
To add skins, create a folder called "Skins" and then place your skins inside. They should be in this folder tree:
Root -> Edge -> Skins -> Edge Skin -> the image files inside
The skin will show up on the options menu as "Edge Skin". Hope that helps.