My Documents > Sports interactive > Football manager 12 > Skins > Zip folder into skins.
Launch Game. Go to preferences, Display and settings. There will be a tab for Skins, hit the drop down menu, select the skin you want. UNtick the "use skin cache" box and then hit save, and there you go.
***NOTE****
Unless you've created the skins folder it won't appear in your FM12 folder, so just create it and zip it in.