If the skin isn't coming off easily, don't worry about it. You can still make almond milk with it on, it will just have a hint of brown/grayish color to it as opposed to a white milk. Either way, be sure to rinse the almonds before you blend them.
Refrigerate in a closed pitcher or glass milk bottles with lids immediately after straining. Shake well before serving.
Do not use flavored, roasted, or salted almonds.