You're probably jumping too high. You only need to jump a fraction higher than the width of the rope! Another mistake people make is putting their feet together when skipping, try to relax it a bit. Just jump and let the feet go where they go, it'll all come naturally.
It might be the rope as well. Stand in the middle of the rope and pull each handle up to your side. If you turn the handles in so they are touching your body they should touch your hips. If it is nowhere near your hips then the rope might be the problem.
As for it being important, if you can spar fine, moving on your toes and being relaxed then it's fine. Calzaghe wasn't even allowed to skip as his Father thought it was a waste of time so it can't be all that important.
Good luck man! It'll come, just keep practising and don't run before you can walk. Start slow. Even start just turning the rope at your side and jumping to get the rhythm going.