my first skin
was made with MSPaint. I do not recommend it, however, it's not only the missing undo option, but much more the missing layers. Layers allow you to test different options, place elements more freely and look at the overall outcome of different compositions.
However, I use MSPaint to 'compile' the skin once its design is finished, i.e. cropping and preparing the needed bmps and fixing the inherent winamp bugs. You might want to try template amp
for this job, it contains all needed masks.
good luck, can't wait to see your first skin