It seems that SET AUDIO_OUT and SET AUDIO_IN no longer works with Skype 4.0 beta (e.g. 4.0.0.145).

Get seems OK:
> GET AUDIO_OUT
< AUDIO_OUT Speakers (Realtek High Definition Audio)
> GET AUDIO_IN
< AUDIO_IN Microphone (Realtek High Definition Audio)

Set is ignored?
> SET AUDIO_OUT Speakers (Cordless USB Phone)
< AUDIO_OUT Speakers (Realtek High Definition Audio)
> SET AUDIO_IN Microphone (Cordless USB Phone)
< AUDIO_IN Microphone (Realtek High Definition Audio)

This is (unfortunatelly) intentional behaviour for now. We had certain application that behaved badly with set audio commands, causing massive amount of support issues and that we couldnt just turn off easily. So for now we disabled the relevant API.