A skin forms when protein separates out of the dairy products. Try the following:

1. Use cake or pastry flour: it has less protein.
2. Press plastic wrap directly on top of the surface.
3. Cover the surface with dampened wax paper
4. While the sauce, pudding, or custard is hot, rub the top with a stick of butter.
5. Pour a thin layer of sherry or oil over the surface before refrigerating
6. Get rid of the skin by gently reheating a sauce, then straining it.

Source: 12,168 Kitchen and Cooking Secrets