On Windows, you should find the Bliss Installation directory (by default C:\Program Files\Games For Loving\Bliss 1.6) and see a Skins directory/folder. Drop your skin's .BMP file in there and the next time you start Bliss you should see it in the list.
On the Mac you'll need to open Finder, then find the Bliss Application, probably in Applications. Or your thumb drive
Now you're going to need to control+click (or right-click) and select Show Contents. Now you can click into Contents/Resources/Java and you'll see the Skins folder. Drop your skin's BMP there, start Bliss and you should see it in the list.
On Linux or other platforms where you're using the Bliss.jar, Find the directory where you've extracted the ZIP file, and there is where you'll find the Skins directory. Again, drop the new skin there and you should be good to go.
Good luck!