I'm anti sky lights of any kind. Mostly because of all the long terms issues that I've seen from them leaking or the plastic deteriorating or the damage that is doen to the paper and shingles around them during instalation. The older the shingles and paper under the shingles, the more brittle they are, and the more likely you are to create problems down the road by disturbing them.
Your ceiling is the most important area for insultion. Creating a hole in your ceiling means there is no R value in that area. Kind of like putting a hole in a boat. It wont sink, but it's going to let water in. How much heat will go up and out through that skylight?
For the cost of the light, the price to install it and the loss of energy you lose because of it, why not install a 40 watt light bulb?
Eddie