They appear in his 1957 paper, On certain distributions of integers in pairs with given differences (Math Scand., 5, 57-68).
The question is to put the integers $1,2,\dots,2n$ in $n$ pairs $(a_1,b_1),\dots,(a_n,b_n)$ such that the differences are all different, namely $b_i-a_i=i$ for $i\in\{1,\dots,r\}$. One can put it differently: write a sequence of $2n$ integers, where each of the integers from $1$ to $n$ appear exactly twice, the two $1$s being at distance $1$, the two $2$s at distance $2$, etc.
For example, $4,2,3,2,4,3,1,1$ is a Skolem sequence of length $n$, corresponding to the pairs $(7,8), (2,4), (3,6),(1,5)$.
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There is a basic necessary and sufficient condition for such a sequence to exist, namely $n$ has to be congruent to $0$ or $1$ modulo $4$. The proof of necessity is easy (attributed by Skolem to Bang): one has $\sum_{i=1}^n(b_i-a_i)=n(n+1)/2$, and $\sum_{i=1}^n (b_i+a_i)=2n(2n+1)/2$, so that $\sum_{i=1}^n b_i=n(n+1)/4+2n(2n+1)/2=n(5n+3)/4$. If $n$ is even, this forces $n\equiv 0 \pmod 4$, while if $n$ is odd, this forces $5n+3\equiv 0\pmod 4$, hence $n\equiv 1\pmod 4$. The proof of existence consists in an explicit example of such a sequence, which is written down in Skolem's paper.
Skolem's motivation is only alluded to in that paper, but he explains it a bit further next year. In Some Remarks on the Triple Systems of Steiner, he gives the recipe that furnishes such a system from a Skolem sequence. Steiner triple systems on a set $S$ is the datum of triplets of elements of $S$ such that each pair of two elements of $S$ appears exactly once. In other words, they are a $(3,2,1)$-design on $S$ — a $(m,p,q)$-design on a set $S$ being a family of $m$-subsets of $S$ such that each $q$-subset appears in exactly $p$ of those subsets. Some relatively obvious divisibility conditions can be written down that give a necessary condition for the existence of designs with given parameters, but actual existence is much more difficult. In fact, it has been shown only recently by Peter Keevash that these necessary conditions are sufficient, provided the cardinality of the set $S$ is large enough, see Gil Kalai's talk Designs exist! at the Bourbaki Seminar.
In the case of Steiner triple systems, the condition is that the number $s$ of elements of $S$ be congruent to $1$ or $3$ modulo $6$. Indeed, there are $s(s-1)/2$ pairs of elements of $S$, and each 3-subset of the triple system features 3 such pairs, so that there are $N=s(s-1)/6$ triples. On the other hand, each element of $S$ appears exactly $3N/s$ times, so that $(s-1)/2$ is an integer. So $s$ has to be odd, and either $3$ divides $s$ (in which case $s\equiv 3\pmod 6$) or $s\equiv 1\pmod 6$.
And Skolem's observation is that a family of $n$ pairs $(a_i,b_i)$ as above furnishes a triple system on the set $S=\mathbf Z/(6n+1)\mathbf Z$, namely the triples $(i,i+j,i+b_j+n)$ where $1\leq i,j\leq n$, thus constructing Steiner triple systems on a set whose cardinality $6n+1$, when $n\equiv 0,1\pmod 4$.
My surprise came at the reading of the rest of Skolem's 1957 paper, because I knew the result he then described but had no idea it was due to him. (In fact, it was one of the first homework my math teacher Johan Yebbou gave to us when I was in classes préparatoires.) And since this result is very nice, let me tell you about it.
Theorem. — Let $\alpha>1$ and $\beta>1$ be irrational real numbers such that $\alpha^{-1}+\beta^{-1}=1$. Then each strictly positive integer can be written either as $\lfloor \alpha n\rfloor$, or $\lfloor \beta n\rfloor$ for some integer $n\geq 1$, but not of both forms.
First of all, assume $N=\lfloor \alpha n\rfloor=\lfloor \beta m\rfloor$. Using that $\alpha,\beta$ are irrational, we thus write $N< \alpha n<N+1$ and $N<\beta m<N+1$. Dividing these inequalities by $\alpha$ and $\beta$ and adding them, we get $N<n+m<N+1$, since $\alpha^{-1}+\beta^{-1}=1$. This proves that any given integer can be written only of one of those two forms.
Since $\alpha^{-1}+\beta^{-1}=1$, one of $\alpha,\beta$ has to be $<2$. Assume that $1<\alpha<2$. The integers of the form $\lfloor \alpha n\rfloor$ form a strictly increasing sequence, and we want to show that any integer it avoids can be written $\lfloor \beta m\rfloor$.
Set $\gamma=\alpha-1$, so that $\beta=\alpha/(\alpha-1)=1+1/\gamma$.
For every integer, we have $\lfloor \alpha(n+1)\rfloor = \lfloor \alpha n\rfloor + 1$ or $\lfloor \alpha(n+1)\rfloor=\lfloor \alpha n\rfloor+2$, so that if $\lfloor \alpha n\rfloor + 1$ is avoided, one has $\lfloor \alpha (n+1)\rfloor=\lfloor\alpha n\rfloor +2$.
Then, $\lfloor \alpha n\rfloor = n+\lfloor \gamma n\rfloor=n+k-1$, where $k=1+\lfloor \gamma n\rfloor$. The inequalities $k-1<\gamma n <k$ imply $k/\gamma - 1/\gamma< n<k/\gamma$. Moreover, $\lfloor \alpha(n+1)\rfloor=n+1+\lfloor \gamma(n+1)\rfloor=n+k+1$, so that $k+1<\gamma(n+1)<k+2$, hence $n>k/\gamma+1/\gamma-1>k/\gamma-1$. This proves that $n=\lfloor k/\gamma\rfloor$. Then, $\lfloor k\beta\rfloor=k+\lfloor k/\gamma\rfloor=k+n=\lfloor \alpha n\rfloor +1$.
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