You should be able to achieve that by opening the file, then:
- On the Settings menu, click Save Current.
- Give the current settings (those from the opened document) a name and click OK.
- On the Settings menu, click Share.
- Check the named settings, click OK.
- Specify the path for the .skys file you want and click Save.
A .skys file is really intended as a mechanism for sharing pure settings, separated from a document's targets, placed on the Settings menu. Unfortunately, it does not provide a machanism for packaging and sharing library files, which must be managed separately. For simply sharing settings that do not need to be named on the Settings menu, Brian is right that it is probably easier to just share a Skyline document (.sky file) with those settings and no targets as a starting point, because it alleviates the need for the intended recipient to us Settings > Import to load the contents of the .skys file on the Settings menu (where it will remain until removed using Settings > Edit List) and then choose the saved settings by name with Settings > [named settings].
If this kind of placement on the recipient's Skyline Settings menu is desired, then, by all means, you and your collaborators should use the features provided on the Settings menu (Save Current, Edit List, Share, Import) for managing the customizable list of stored settings on the Settings menu.
Hope this helps to clarify the purpose of a .skys file (storing and sharing saved settings named on the Settings menu), which requires use of this mechanism. If instead you just want to be able to pass around well contained settings (including the separate files they require, like spectral libraries, iRT libraries, optimization libaries) then your best bet is to use template Skyline documents shared using File > Share or placed on Panorama with File > Upload to Panorama, which lack any targets.