I remember when I did it literally 1 programme did it all for me.
Whatever Capture Device you use it normally picks up the PC sound or Desktop sound. That is literally all you need because your recording software will capture the Skype call on top of the game volume. It will take a bit of tinkering to get it right so you have nice game level but still able to hear your friend.
It shouldn't be too hard to do, relatively easy actually, give it a go and see how you get one.