Bones and constraints in a skin are inactive when the skin is not applied. Creating bones for each skin will not affect performance, even if you do that for many skins.

munderfire написал

http://ru.esotericsoftware.com/spine-skins

Skins are made up of attachments, bones, and constraints that are only active when the skin is visible.

Does it mean I can create whole new hair bone structure for each skin without loses in performance?

To avoid any potential misunderstanding: the bones or constraints need to be added to a skin as described in the Skin Bones and Skin Constraints sections below to be inactive when the skin is inactive:
Skins - Spine User Guide: Skin bones
Skins - Spine User Guide: Skin constraints
Only having no attachments visible at a bone is not sufficient.