With Skype 4+ you can not only create group conversations but also save them. Contacts - New Group displays a dialog where to create the group. After adding members click on the symbol on the top right in order to provide a name and store it.
Now you have an entry "my group chat" in the contacts list and are able to see the history of this conversation.
just another little skype hint:
ReplyDeletewith [ctrl]+[up] you can edit the last sent message.
lg/br seb