I lost an semi-important document that was shared with me over skype because of that.
First, you'll want to make sure Skype is set to keep message history forever: Skype -> Privacy -> Keep history for... -> Forever
Then, you can right-click on a contact -> View Old Messages -> 1 Year, etc.
This is assuming you're using Skype, and not Skype for Business; they are not the same: https://en.wikipedia.org/wiki/Skype_for_Business
I lost an semi-important document that was shared with me over skype because of that.