As a quote from Lomar, a rioter (Note this is 2012)
"In our case, we've made a decision that custom skins/splashes aren't necessarily hurting the business. Our business is in making our players happy - the ability to custom stuff is likely what keeps certain people interested in our game, and acts as a force multiplier for other people. From that perspective, banning people is incredibly stupid. We're forcing people out of our game, and lessening the experience of other players, for no real clear benefit.
That said, it's important that we reserve our rights to defend the IP here. There may be certain custom skins (Nazi Teemo!) that we may have a legitimate problem with. And there are other modifications (Zoom hack!) that are a certifiable balance issue and need to be prevented. Custom creation will always be at your own risk - updates may break functionality, etc. But we also aren't going to just toss out arbitrary bans. It's not in our players' interests, and so it's definitely not in ours."
So in summary, it's fine as long as the custom skin is allowed and doesn't effect how the character plays. Normally nobody else can see the custom skins so it isn't a problem, nor does it hurt Riot's money because most of these custom skins can just be made in MS paint.
I do recommend at least scanning them though. There are some that are fake and just give you a virus.