Ancalagon think of the bandwith bro...
Depends on how it's handled. If you add a single bit tag on a packet of aircraft data that says 'this plane has a custom skin', your FE could look the player ID up in its skin database to see if it has the skin, and uses it if it's available. If not, it uses the default skin and writes the player ID into a 'skins wanted' file.
The next time you start AH, when you connect, your FE would tell you that you have custom skin requests pending, throws up the list, and asks you what you want to do. You could edit the list, picking the ones you want to download, the ones you never want to download, and the ones to ignore for now, and then download the skin files before you go into any of the arenas.
This way, the bandwidth usage would occur
before you got into the arena and started flying, so it wouldn't affect your connection.
That said, I still prefer Ben's idea over individual custom skins; letting everyone make a custom skin would start getting expensive in terms of disk space (300 players, each with a custom skin, at perhaps 100kb per aircraft, adds up to 30Mb) -- and it opens up abuses, like making a high-visibility skin and replacing someone's custom skin with it so they are more visible in your FE.