A skin forms when protein separates out of the dairy products. Try the following:
- Use cake or pastry flour: it has less protein.
- Press plastic wrap directly on top of the surface.
- Cover the surface with dampened wax paper
- While the sauce, pudding, or custard is hot, rub the top with a stick of butter.
- Pour a thin layer of sherry or oil over the surface before refrigerating
- Get rid of the skin by gently reheating a sauce, then straining it.
Source: 12,168 Kitchen and Cooking Secrets