I would suggest not putting them in. Every skylight I have ever seen has leaked at some time or another. Plain and simple, I don't like any more holes in roofs than absolutely needed.
If you don't intend to insulate, most pole building manufaturers offer translucent fiberglass panels on the upper portion of the walls to let light in.
If you intend to insulate, some transom style windows at the tops of the walls will let in nearley as much light as a skylight while still offering security.
When we were looking at houses last summer we found one with a really cool upstairs family room. Huge room, with a vaulted ceiling and 3 or 4 skylights. Each skylight had obvious water damaged sheetrock around it. Just down the ceilng from each skylight were some globe style lights, glass globes about the size of a basketball hung on cords.
Each globe had a satnding puddle of water in the bottom!!