They are in the C:\Program Files\Alwil Software\Avast4\DATA\Skin folder and have an .asws file type, the self-defence module would have to be disabled to allow for deletion.
You need to exercise care in what you delete and you can't delete the default skins (3 of them) or avast would just replace them.
Personally the space they take up on your hard disk is very small so I feel you won't gain much by doing this.