Ok what you are looking for is an option called called "Stereomix", "Monitor" or as its called sometimes in Windows "What You Hear".
First what you will need is to install pavucontrol, if you dont have it already:
Launch pavucontrol and Audacity. In Audacity click record, now in pavucontrol select Recording tab and you will see there Audacity recording.
sudo apt-get install pavucontrol
On the right side there is a drop down menu from which you can choose soundcard options. Click on that and select "Monitor of NEME_OF_YOUR_SOUNDCARD" that Audacity is currently using to play. This should make the mic record what ever you are playing in Audacity.
Launch Skype to test if its working.