Depends. If it's static, it's probably best to use MS3D (just import the file as .md3 and export the file as .skd). If it's not, you're going to need LR3D.
I had a hard time looking for it, too. The ones from Scorpio's website disappeared, but I managed to grab an SKL exporter. SKLs can be turned into SKDs with skl_2_skx from SH SDK (it can export regular MoHAA models too). Contact me via some IM and I'll send it to you.
I have an exporting problem too... and i downloaded the plugin from lightray and i found out that it must be registered to export, so i got a key and registered, its licenced now (not legally).. but i still cant export.
Then i read somewhere that if u register, u get a file with u, which allows the export and so on. I really haven't got the money to pay for lightray and i think 68$ is not worth just 1 export. Any ideas how i could convert .ray to .skd? or would anybody do it for me..