Skim preferences has an option for "Automatically save Skim notes backups" which I highly recommend you turn on. This creates a .skim file next to the PDF. Skim still saves annotations to the extended attributes, but I've seen them go missing after sync with Dropbox. It's not supposed to, but it did. Hence, I always keep a notes backup in the .skim companion file.
Skim's big advantage over Preview and every other PDF annotating app is fast saves. This is possible only because Skim keeps the annotations separate from the PDF content. The PDF format is such that adding an annotation to a PDF page requires rewriting the entire PDF back to disk, which can be quite slow. Skim avoids this drawback elegantly because it doesn't rewrite the PDF, only the extended attributes.
So, turn on the backups option, and continue using CMD S in Skim for saving your work. If the extended attributes get wiped out, then when you launch the PDF in Skim, it will detect the .skim file and offer to load it & you can continue your work.
Bonus tip: DevonThink supports Skim annotations natively. So, if it finds a .skim file or extended attributes for the PDF file you're viewing in DevonThink, it will show the annotations too. This avoids the step of having to export a PDF with embedded notes from Skim, which is required for other apps to view annotations you've made in Skim. (Skim provides a free SDK for its annotations format, so other PDF viewers should be able to support skim annotations too.)