Here's a really quick way to open an edit window on your last-sent Skype message -- simply press the Up Arrow key, and a text area with the last message pops up.
This is the same action as selecting Edit Message from the contextual menu that appears when you Control-click on your last message, but it's definitely faster!
Mac OS X Hints
http://hints.macworld.com/article.php?story=20090625082639972