Depending on your OS, you can usually set your computer to have a sound device commonly known as "Stereo Mix". That is just an output of anything coming out of your computer; if you then set the input of audacity to be that you will get skype.
N.B. - If you do this and you don't have your computer set up to hear your own microphone, you won't get that on your recording. Simple answer = 2 tracks, one of your mic and another of stereo mix and then bounce it down to a single file.
Also, this will pick up any other noises from your computer such as music or game noises, so make sure you take that into consideration when "mixing" you programs.