All initialisation that might be required for your skill can go to the __init__ method, which takes opsdroid and config as its arguments.

class MySkill(Skill):
    def __init__(self, opsdroid, config):
        super(MySkill, self).__init__(opsdroid, config)
        # do some setup stuff here

IMPORTANT Always remember to chain up to the __init__ method of the Skill class, or your skill won’t work!