I'm not an expert in Skype I'm afraid. What do you mean by "make it work in Skype" though?
Do you mean to be able to insert it into the text chat box and have it be animated?
I'm afraid I don't know the answer....
EDIT: However, on further digging, I see that its proper address is:
so I think I'd start by saving .gif image that to my computer, and also perhaps bookmarking the link, or otherwise keeping a copy of it safe somewhere.
...maybe a Skype expert will come along, but in the meantime I'll get up a Skype session to remind myself about how to use the text box (or chat, or whatever it's called).