Microsoft has been teasing the ability to send Skype and SMS messages from the same app for what seems like an eternity. When the November Update (1511) came along, Microsoft added three apps to Windows 10, which were meant to integrate Skype into the OS - Messaging, Phone, and Skype Video. On phones, Messaging served as both a Skype and SMS client, although the Skype aspect of it never really worked well.
When the Anniversary Update was in preview, we were promised Messaging Everywhere, which would finally bring the SMS functionality to the Messaging app on PCs. Later, Microsoft would kill off the project, along with all Skype integration, in favor of a new UWP Skype Preview app. Instead, SMS integration would show up in that app, rather than the other way around.
Did that sound confusing? If so, good. That means you're paying attention.
Today, Fast ring Insiders can finally get a taste of SMS from the Skype Preview app. You can update the app to 11.8.180 right now through the Windows Store.
To set it up, head over to the Skype Preview app, go into the settings, and find the SMS section. Choose to set Skype as your default SMS app, and it will prompt you to set it up. The PC version also has SMS settings, which will allow you to sync your conversations.
It's unknown when this feature will come to non-Insiders. It's very unlikely that Microsoft will force users to wait for the next feature update, which we currently only know as Redstone 2, and is slated to arrive in April.