u probably have editted the model before starting the rig, right? so there should be a edit mesh/poly modifier right BELOW the SKIN modifier...
Okay, so I am doing it right, but it's not working. I selected the three objects that make up my model, added a skin modifier, then added all the bones to it, so they show up in the column on the right. Doing that should make the bones follow the model when I rotate it, correct?