If you want to start a beetle colony, it would be better to buy them than to collect the "wild" variety. If you've got the skulls just sitting out, you will probably get not only dermestids but other varieties as well, such as ham beetles, which may kill off the dermestids eventually.
I would suggest getting your bug box all set up, make sure it's bug proof (dermestids can't get out, no other bugs can get in), getting a way to heat it set up (dermies like warmth- about 80 degrees or so), then order a starter colony. It's important to always freeze skulls for several days before putting them in with the beetles, as freezing them will kill off any pests, such as flies. In all the time I've had dermestids, I've found that the biggest challenge is keeping other pests out. Mites, other beetles, and flies all have the potential to ruin your colony.
If you're only doing a few skulls, or don't feel like investing in a "domesticated" starter kit yet, you can try to give it a go with the wild beetles, though they may be more prone to pests and the skulls may already have other insects in them that would threaten your good beetles. Either way, good luck

, & check out the skull section, there is a wealth of information there!