A Thief of Time is, of course, one of the books that the late Tony Hillerman wrote about fictional members of the Navajo Tribal Police. Skinwalkers are mentioned frequently in Hillerman’s books from this series. In fact, the book that comes before A Thief of Time in the series was entitled Skinwalkers. Skinwalkers are also referred to in these books as “Navajo wolves” or “witches.” The short answer, then, is that a skinwalker is a Navajo who has some degree of magical powers that they use for evil purposes.
Skinwalkers do not figure very prominently in A Thief of Time. The first use of the word comes in Chapter 2, on p. 28 of the paperback edition of the book that I own. There, Lieutenant Joe Leaphorn is thinking about how unusual it is for a Navajo to dig in old ruins. He thinks about how many people would think that a Navajo who would do that would have to be a skinwalker. In Hillerman’s books, Navajos who believe in skinwalkers believe that skinwalkers use pellets of bone from corpses or powder made from human bones to cause bad things to happen to their enemies. The bone pellets are mentioned on p. 29 of A Thief of Time and the corpse powder is mentioned on p.167.
So, skinwalkers, in Hillerman’s books, are Navajo witches. Hillerman does not actually say that they exist, but people who believe in them feature in many of the books in this series.