Skeleton stroke interpolation works the same as classic outlines in Glyphs. You must have 2 compatible masters:
They must have a different name and numerical weight written here:
(To add a master, press plus at the bottom left)
Then you add instances (i.e. styles that are created automatically between masters):
(To add an instance, press plus at the bottom left)
You can also interpolate outside the range of your masters - e.g. you have created weights 400 and 700, and you make an instance with weight 300.
When exporting, all instances are saved in the selected format. If you want to edit instances separately, there is an option to generate instances: