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When you find a skull, you just pick it up as if it is a weapon. As soon as you see the achievement pop up at the bottom of the screen, you can drop the skull. You don't need it anymore.
As to whether or not you need to finish the level, I have always finished the level but I think you should still get the rewards if you just quit&save. To be on the safe side, you should just finish the level. It doesn't take too long if you skip the enemies and just run through it.