To the best of my knowledge, it is not possible. The best solution is to make a copy of the model you want to use, convert to MDL, and edit the path that it uses for it's skin. Don't forget to do the same thing with the portrait file!
First of all, extract your MDX model, and convert it to an MDL file using Yogbul's Model Converter, which you can find in the download forums. Then, open it with notepad, and search for the path of the original skin, and change it to the path of your new skin. Save it, convert back to MDX, and place in your map. Understand?
I was going to ask this same question.... thank you for the awnser!! (but it sounds tricky, and I am VERY simple) I have one other question... When I take screen shots (using "Print Screen" key) I put it into word and it looks fine. When I copy it into PS or PSP it looks grainy and funny coloured. How do I fix this??? (not that I have any thing yet ready to show, but if the time comes I would like to know.)