Hi,
I just went through this myself.
Since we really like the light from the skylight, I choose to use a double wall polycarbonate panel held on with screen clips (to easily remove the panel for showering if needed). I wrapped the edges of the panel with tape to seal the air in the cells between the two "panes". I considered using foam tape around the perimeter of the panel to seal it to the skylight frame, but the plastic is soft enough that it seems to mold to the existing skylight frame well enough (for now anyway)....I couldn't feel any cold at the seams while camping just last weekend.
While not as good of an insulator as filling the space with foam would be, it works pretty darn well at 3 degrees (F) and solves my requirement for light in the bathroom. Oh yea, and it's totally waterproof so if you take a shower with on, it's no big deal.
Here is a link to the plastic I used:
Polygal linkGood luck in your search and hope this alternative solution helps.
Steve
BTW, my skylight is already double pane (and likely yours is too). To find out, just remove the inside trim/dome and you will probably see a second dome on top.