The RadSkinManager performs exactly that: sets the skin globally for all controls on the page that have no specified skin. To use it, simply add it to your page like that:
Of course if you need to modify the skin on the fly, you need to add an ID to be able to access the SkinManager from code behind.
As for switching the between embedded and external skins, you will need to set the EnableEmbeddedSkins property for all controls to false when using external skins and to true when using embedded. That may prove to be tricky, since you will need to listen for the OnSkinChanged event.
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