I think you are jumbling up what these terms mean. First, there are empirical facts --- measurements, observations, things that can be independently and objectively verified. A theory is the idea that ties the empirical facts together, describes a cause and effect relationship between facts, or describes why we think the empirical facts are what they are. So a scientific theory should be well supported by empirical facts (data), and the more empirical evidence, the stronger the theory is. If there is empirical evidence that contradicts the theory, then the theory needs to be changed.
A skeptic is not someone who just says "I don't believe it" --- that's a denier, not a skeptic. A scientific skeptic is a person who scrutinizes empirical evidence, and rejects conclusions that are not supported by the evidence, or cannot be tested or falsified. Almost all scientists are skeptics. They are the ones looking for empirical evidence, testing it, examining it. You can't call yourself a skeptic if you haven't even looked at the evidence yourself and tried to understand it. You need to really dig into the facts to be a skeptic.
In the case of global warming there is strong empirical evidence that CO2 from burning fossil fuels is building up in the atmosphere and that the heat content of the oceans, atmosphere and surface are rising. The theory that ties it together is that the added CO2 is responsible for trapping more heat energy and storing it in Earth's systems. And on top of that theory are predictions that the added heat content and trapped heat energy will drive changes to the climate --- sea level rise, altered weather patterns, etc.
If you want to be a skeptic on climate change, then you need to basically do what climate scientists do. Check the facts carefully. Are CO2 levels rising? Are the oceans, atmosphere and earth's surface retaining more heat than in the past? Does the theory that ties those facts together make sense?
But if you don't want to actually look at the evidence, then you are not a skeptic, you're a denier.
People like to call themselves skeptics, because it sounds more respectable. But in order to be a skeptic, you need to do what a skeptic does. You need to earn it.