They go into UnleashX's skins folder. where that's at all depends on how UnleashX is configured as the directory's location can be set. If the default path value of Skins is listed in the System -> Settings -> System -> Skins Path line. Then, you need to determine where UnleashX's default.xbe file is running from.
While on a menu, not in the Settings page, press Y. Scroll down until you reach the UnleashX section that displays the Path and Phy. Location values.
FTP to the console and to go this Path location on the Xbox's hard drive. There you should find a folder named skins. Upload each skin's zip into a named subfolder there or extract the contents of the skin's archive file and upload the contents into a named subfolder. (To save space on the hard drive, leave each skin in it's own zip file stored in a subfolder named the skin's name you want displayed in the skin selection menu. Multiple skins cannot be stored inside one zip file.) Enough of the word skin in that line.
Even though a skin's skin.xml file contains the skin name, the folder name where it is stored is used in UnleashX's skins menu list when selecting a different skin. Skins, like games, cannot be stored under sub sub folders of the scanned path set for them.