Just make sure you choose "Centroided" as the mass analyzer type in the Settings > Transition Settings > Full Scan window. With that set, the transformation from continuum to centroided is handled by the reader DLL provided by Waters before the data is passed in to Skyline.
I'm not quite sure what you mean by lock mass not applied, but Skyline gives you the opportunity to provide lockmass correction values if lockmass was in use but the correction was not applied to the saved data. I'm guessing this is the scenario you mean.
At the risk of pointing out the obvious, you don't want to convert to mzML or anything like that, just use the original data files directly with Skyline.
Thanks for using the Skyline support board,