I agree with SafeBoot. Disabling the feature within Skype would be the best option.
You may use Network Communication Protection Rule to block file transfer using Skype (understand that there are caveats)
1. I tried use NCPR to block skype transfer file. I got a notification "Network connection was blocked skype.exe:port". But File sent.
2. How to disable the transfer file feature within skype from ePO?
3. How to block upload file to Dropbox for desktop.
1. Looks like skype uses 80/443 for communication, since most HTTP traffic uses 80/443 you wont be able to block those ports.
2. You will not be able to use ePO to disable functionality in skype. You may need to create a script to modify the registry and disable file transfer then use GPO to push to all machines.
3. DLPe 9.3.3 has Cloud protection rules to block Box, Dropbox, Google Drive, Sky Drive, and Synplicity.
To answer #2 , like others have said Skype is not a MFE product. You can't use EPO to govern it. However you can use GPO
Correction to #2
You can deploy software, scripts and registry changes from ePO using EEDK. So it is possible through ePO.
EEDK - ePO Endpoint Deployment Kit - Free tool for ePO to create ePO packages to deploy using ePO
You can create a Notification and a Critical Alert if Skype is touching any files with classification tags.
Currently you can not Block using Application file access protection rules or using File system protection rules.
So if you allow using Skype you can Alert and Notify the user if they are breaking policy, but not block it. It might be something which will be added in coming releases of DLPE.