Yes and no. As with any downloading, the source may be inherently evil. For instance, satan.com will probably not be the best place to download skins. But yes, it is worth it if you don't really like making them. And who does? Does anyone dream all night of making skins and then get fired at work because all they do is make skins on their computer? If so, good for you, market that and sell skins for a dime a dozen.
Use the import editor to import into the map. It has to be imported over the old models path.
Unless they tell you or you can extract from the .mpq files and open them then you need to guess.
Most skin files are in:
Textures\UnitName.blp
Race\UnitName\UnitName.blp
So Blood Mage is Textures\HeroBloodMage.blp and the Footman should be Human\Footman\Footman.blp(actually I don't think it is but thats an example).
Some tricky ones are the Warden(Textures\IronRaven.blp) and the Night Elf Archer(Textures\Ranger.blp).
Ghan has said he has fixed this. Monovertex please confirm this fix. This was only a problem with people that had signatures in the upper levels like not the special members but the respected members.