Cheers Franky! I was mistakenly using the Steam one. Hopefully there is some way to reassign that destination. I wouldn't want +20gb of skins in my C:/documents folder one day.
Curious... While I had a custom skin selected, I hit the Windows key and jumped out of the game. In the My Documents.../Cache folder is a 12,289kb version of the 95.2kb skin I'd just made.