Skills cover combat (one per weapon family, plus Unarmed), defence (Dodging, Armor, Vitality, Endurance), magic (Spellcasting), and the wild (Survival).
Each skill has two states: active and idle. Only active skills earn experience when you use them. When several skills are active at once, the experience from each turn is split between all of them — so focusing fewer skills levels them faster.
Focusing a single skill in the character screen is the simplest way to drive one skill hard. Race and class also give some skills natural aptitudes that quietly speed up their levelling.