Statement: You could pass a few volts harmlessly at a few milliamps through your skin.
Correction: You could pass a few microamps harmlessly through your skin.
You can safely pass several 100mA through your body if you do it right:
If the frequency is high enough the current will not cause any damage (if the current density is low enough not to cause thermal damage). I have tried it myself by holding a 40W 230V lightbulb connected to a 50W 1MHz source in one hand and the ground return in the other hand. The lamp lit up brightly, but except from some heat I did not feel anything.
This has nothing to do with skin effect. Compared to the more wet and salty parts of the body, skin is bad conductor, even at high frequencies. The nerves simply can't react to the high frequencies and because of the quickly alternating current there is practically no electrolysis.
Doing the same at DC or 50/60Hz would come to a bad end.