Skyrim introduces the concept of Perks. To avoid confusion with Hero Perks (i.e., Perquisites), I think it easiest to implement Skyrim Perks as either Hero Talents, Powers, or skill Adders, all of which are well defined in the Hero System.
Skyrim has 18 skills, classified as:
The Combat skills are, for the most part, already adequately handled in Hero System using Combat Skill Levels. The exceptions here are Heavy Armor and Smithing. Heavy Armor makes sense as a talent, with multiple options to reflect the various Skyrim Perks, while Smithing is best implemented as PS: Smithing with skill Adders for the Skyrim Perks.
The Thief skills are almost entirely a one for one match with Hero System, with the exception of Light Armor which is best handled as a talent in the same way as Heavy Armor. Alchemy, like Enchanting and Smithing, is best handled as PS: Alchemy with skill Adders.
One of the things I like about making Enchanting, Smithing, and Alchemy background skills (i.e., Hero System Professional Skills) is they require fewer points to improve than the other, more heavily used skills.
One of the things necessary to keep things balanced is some way of keeping skill progression in line with overall character development. I haven't settled on anything definitive, but in general a character should be limited to the number of skill levels he can purchase over time, whether specifically +1 skill level or +1 in a single skill, if you wish to model the character progression aspect of Skyrim. Allow players to start with up to +3 skill levels per skill/area of focus, and then allow progression of something like +1 per 25 experience points.
Alternatively don't worry about skill balance all that much, although limiting the starting skill levels is a good idea, and allow the characters to explore their characters as fast as they earn XP.
Much of the analysis and descriptive text is courtesy UESP Skyrim Wiki.