Doesn't take that long to skin something maybe 5-10 seconds. Very short for rabits, medium length for deer, and a bit longer for the really big game. Skinning also loots all the meat/other parts like horns into your inventory, and your horse can carry quite a few pelts as well as one whole animal or extra large pelt. Can also hook a few small animals to your saddle (rabbits/birds).
I've found the hunting to be pretty satisfying. Convenient to do generally on the way back from missions for a little extra $$$ and food for the camp.