You definitely do not need to change it to an mdx file, because that isn't possible.
Make sure that you importeds the skin correctly with the proper file path (slashes should be like this \ and not like this /). Also make sure that you restarted the World Editor to see the skin on the unit.
and to cover all bases, make sure you have it as a .blp file, you must have it as .tga or something you can edit in order to create and modify the skin, but you are then making it a .blp afterward correct?