Skinning RadEditor is an advanced task. The Edtior makes use of a single CSS sprite image for all toolbar buttons, so working with this can be a challenge. We are currently working a Visual Style Builder for the RadControls for ASP.NET AJAX, so in the future there will be an easier way to do some skin customization without requiring advanced knowledge of CSS. Until then, I suggest starting with one of the existing skins and then carefully modifying it to meet your needs.
As for applying your custom skin, you should be able to simply copy the required Editor CSS files (and supporting image directory) to your App_Theme theme folder (such as MyTheme). Pages that are set to use MyTheme and Editors with Skin="MyTheme" and EnabledEmbeddedSkins="False" should then use your new skin.
Hope that helps.