This is the way I've done this - first open Synaptic and install 'audacious-skins' ,and 'audacious-themes-pack' (if you want Winamp skins). Then, open Audacious, click on the upper left corner of the player, and select 'preferences'. In the left column there are icons for the various options. Click on 'skinned interface', and a skin selection box will open, showing the available skins. Pick one and you're done
I like the WinampMP11 skin, btw. Good luck!