Skype for linux 0.92.0.2

This skype version works fine with a direct internet connection i.e. without using a
proxy.
To use a proxy I set the environment variabl http_proxy=192.168.0.5:8080 but
skype never tried to access the proxy (I checked the communication with
tcpdum respectively ethereal)

Is Skype able to connect with your profile?
If that is not the case, then Skype has probably not found your Proxy config and will send no traffic over your connection anyway.

How exactly did you set your http_proxy variable?