I've been running with all of the skins loaded since I got my sub in Jan 2007. My rigs always been pretty subpar and at the time I was running with a card that had like 128mb video memory and a gig of ram, very dirty system and probably a pretty fragmented drive. At the time I ran with 512x512 textures but I think I switched to hires around mid '07. I've never had any issue because I've had all of the skins loaded. I would preload textures but not skins (not enough ram).
Now I've got a 512MB card and 2 gigs ram (still same system otherwise though) and I'm still not having any trouble, I've always (always) had auto download on.
Now, what causes issues with all the skins downloaded, from what I understand, is the act of loading skins into your RAM as they come on screen. Because it takes time for the Hard Drive to get the skins and load them into your RAM it would cause stutters on some players computers when a plane with a previously unloaded skin needs to be rendered. I know that, to circumvent this, Skuzzy recommended that you have only the skins you want, so there was few enough to preload them all, and do that (pre-2.14 when there were more video options). I'm not sure if there's still an option to preload skins but I've never used it. And with my run-of-the-mill '06 250GB hard drive and mis-matched RAM (2 512 sticks and 1 1 gig stick) I've never had an issue with stutters due to skins loading. Not saying you won't, but I wouldn't be too worried about it. If nothing else you should definitely at least try it.