Apparently there is no way to add or link an account to Skype while the application is running.
I always ‘Auto Sign-on’ with Skype. So, I had to log off Skype, then choose ‘Login with Microsoft Account’ option, then it will present you with the option to merge accounts.
Then, you will see this under your profile:
You will need the new Skype beta 5.11 to enable Microsoft account linking.