The answer to this question has been debated over and over, so there will be different opinions on how wet or dry you should skim.
In my view, I like to get a dry foam in the collection cup, this will get me to have a thick milkshake type waste which in turn leads to removing more organics and proteins.
Give the skimmer and rock some time, you will end up cleaning the collection cup everyday for ahile in the beginning until the tank cycles.