If you're going to do animations with it (for anything... like progress bars, volume bars, playing animations, etc.) you'd better use macros or have an inhuman amount of patience. I've done a skin like this (
http://forums.skinconsortium.com/index.php?page=Thread&threadID=881) and even with a macro key set up to open the File -> Place dialogue box in photoshop and type in all of the renders' names but the number (which I typed individually), this process takes some time if you have animations with many, many frames. The end result can look spectacular though, and well worth the time. Another heads up: doing text in perspective is a huge pain (I didn't get around to it in mine), but ALAS' skin "Lissabon" demonstrates an effect that should work nicely if you decide to add song info.
3ds Max output the following for my animation renders: "FileName anim rend####.jpg" and before using my macro, I copied the entire name to a blank text file, deleted the #### number (actually, I left the first two digits to save keystrokes later), then copied what was left
As for my macro itself... ("+" will represent down state, "-" will be release, no +/- will represent press and release)
Alt
F
L (opens the "Place" dialogue box)
+Ctrl
A (highlights file name in dialogue box)
-Ctrl
Delete (self explanatory)
+Ctrl
V (this pasted my shortened file name to the dialogue box)
-Ctrl
End
Left arrow
Left arrow
Left arrow
Left arrow (this series moved the cursor to just before the file extension, where the file render number was)
After you press your macro key, type in the remaining digits of your render number and press enter, add new layer (I would have added this to the beginning of the macro, but I couldn't find a keyboard shortcut for it), then use the macro again.
I'd recommend doing a render of your skin without any of your animated parts attached, then use that as your base layer. Then, if you don't have any transparent or reflective animation parts, you can render each animation set individually without the base of the skin visible (if your animated parts are transparent or reflective, you'll have to leave the base layer visible (which means you'll have to crop it out later. Once you've added all your animation layers, you can crop out everything that's not needed in each frame for each render set (if there is anything).
Sorry for the text wall, but I wanted to be of some help

. Anyways, good luck, and I hope to see some fantastic skins in the future!