1. Remove the users from being local Administrators. Now they cannot install or reinstall Skype
2. Remove Skype from their machines. They can't use what they don't have.
3. Block all traffic to the IP Ranged owned by Skype. If it can't "talk to momma" it will either not work or will at least be crippled enough to not be very useful to the people trying to use it. You're wasting your time with Domain Sets or URL Sets. This will also make it difficult for them to go to the site to even download it to install it.