Save your file first:
File / make WBA package
then:
File / Substyle Management / Add / newsubstylename->enter name like Skinname(XP) or Skinname(Vista) / Existing skin / Create
If you have the Pro version you can also choose in clicking on the button "Sybstyle synchronizing" the elements to copy from substyle 1 to 2 or 2 to 1 (never use it yet)
Like vStyler said:
just choose Substyle Management from File menu > Add

Well open SKS6 then select your skin and edit it.
Then in the Menu (top horizontal) click on "File" select "Substyle Management", a popup appear so click on "Add" button, enter the name of the new substyle, (there is a drop down menu where when you have already substyles you can choose the substyle to copy; basicly if you have never create a substyle it's on "Existing skin" ) and press create.
as an option if you have the last SKS6 beta pro you can also choose which part of the substyle that will be copy to the new one and "vice versa"
i wish it's more clear.
after to switch between all the substyles go to the horizontal menu select "tools" and "Switch Substyle"
Download this -->
KittyMaloneScreenshots.zip it contains some screenshots for you

steps by steps.
(i use one of your WB so if you want i delete the file after you get it just let me know ok? easy as it's one of my personal site)