This happened to me previously, and the only thing that worked for me was to lower the protein concentration. I was setting my protein up at 10 mg/mL, only to find skins on nearly all the drops. I would damage the crystals trying to get them out of the drops... I lowered my protein concentration to 7.5 mg/mL... the crystals still grew, and the skin didn't.
This seems to happen a lot when you set up crystals with PEGs, so you might be able to lower the concentration of PEG as well.
