Can you tell us a little more about your data so that we can point you at the most appropriate tutorials?
If you have done a peptide search and would like to use Skyline to extract chromatograms from MS1 scans, then you should take a look at the MS1 Full Scan Filtering tutorial:
https://skyline.ms/wiki/home/software/Skyline/page.view?name=tutorial_ms1_filtering
The "Peak Picking" option in MSConvert actually refers to converting scans from profile to centroided data, and is not what you want.
-- Nick