Even when working with the source code you will see warnings about unknown css classes. Its because at design time its not using the real skins but at runtime it is. At runtime, the skin is retrieved from a site specific folder, Data/Sites/[SiteID]/skins/[skinname], but the visual studio designer has no way of knowing this. You can safely ignore warnings about unkown css classes. What matters is that they are there at runtime.
When you make changes to a skin you need to clear the server cache by recycling the app (touching Web.config is sufficient), and you need to clear the browser cache as well, in order to see your changes. I will look into adding a config option to disable at least the server side caching as this would make the desing process less tedious. Right now its optimal for when your skin is finished, but I suppose its a little more hassle while working on a skin because the heavy caching makes you think your changes had no effect.