How to Tame and Ride a Skeleton Horse
Get one to spawn and survive
First make sure skeleton horses can appear where you are looking. Raise chanceSurfaceSkeletonHasHorse in the config if you rarely see them, and consider disabling shouldBurnSkeletonHorsesInDaylight so the horse does not die in the sun before you can act. Reload the world after changing settings.
Deal with the rider
A skeleton horse almost always spawns with a skeleton riding it. You cannot tame a horse while its rider is attacking you, so defeat the skeleton first. Once the rider is gone, the skeleton horse is left standing and can be approached.
Tame and saddle it
Skeleton horses are tamed the same way as normal horses: mount it repeatedly until hearts appear, or feed it the usual horse-taming food. After taming, place a saddle on it to ride. Skeleton horses are already fast and do not need armor to be useful.
If the horse still burns in daylight, either ride it into shade or change the config so it is immune. Keep it away from water if you want to avoid it wandering, and consider leading it into a pen so it does not despawn or wander off.