Master Zhou and Takanata spoke with Elder Danyu regarding skinwalking demons. He said the following:
Skinwalking is not a trick particular to demons. That is, there is the potential for demons to practice skinwalking, as there is for spirits, or humans. Skinwalking, he says, contains some aspects of northern necromancy, and some aspects of southern dark chi, making it a uniquely Empire perversion.
He assumes you know the basics, to be asking about it - you take a living being, and ritually (both sorcerous ritual component/and other components as well) kill it in a way that keeps the entirety of its being, including the soul, in what's left of its body. You carefully pare away parts of the body, distilling the essence down into a part - most frequently the skin, if one of the things that you want is appearance - and then possession of this part of the being gives you some or all of its lifespan, knowledge, skills, and abilities.
He can tell you some historical tales of skinwalkers - the most famous was one, many many Cycles ago, who, when he was killed, had collected a whole host of powerful people as skins. He was only stopped when he drew particular attention by going after the heir to the Emperor.
Some limitations - a strong personality in the skin may influence the skinwalker, and disads are almost always taken on. It is possible to wear more than one skin at once, though it is more difficult when they clash with each other or with one's own nature.