Yes, Skyline can be used to process neutral loss data. Why do think there might be a problem?
If you are using Skyline for lipids, I assume that you are treating them as small molecules. For neutral losses, you need to tell Skyline the resulting chemical formula for the product ion when you do "Edit > Insert > Transition List".
Skyline does not know how to calculate the product ion formula given the precursor and neutral loss formulas. (I remember the question came up a year or so ago of whether we should implement such a feature for small molecules, but for now you have to specify the resulting formula yourself.)
If your Skyline document contains peptides, then the way that you tell Skyline about the potential neutral losses is by including modifications at:
Settings > Peptide Settings > Modifications
This document that I found on the web from Agilent has a nice set of screenshots showing how to define peptide neutral losses on page 16:
I hope this helps. Let me know if I did not understand your question correctly.