It depends on your frame of reference and your approach to building a new system.
The average newbie does something like this:
1) Buy a tank, equipment, etc. and set it up
2) Plop in as much mailorder (nasty) or LFS bargain-bin (nasty) live rock as they can get
3) Watch the nutrients go off the chart, then calm down a bit
4) Slowly add livestock (a fish or two every few weeks)
5) Wonder why they have serious nutrient issues - most of which are sadly considered "part of setting up a new tank."
From that approach, I would strongly advise you run a skimmer, perform water changes, etc. during cycling. The initial cycle is purely to prepare your tank's biological capacity for the initial bioload you'll place on it - the first fish or other livestock. In a new tank crammed full of dirty live rock, there is vastly more biological material (die off, etc.) than you need to accomplish that goal, so removing excess waste through skimming or other approaches is only going to help you in the long term.
From another perspective, let's assume you set up a new tank with impeccably clean, well established live rock from a display tank. Or, with a very small amount of live rock and a bunch of clean (dead) base rock. In those cases, you most certainly will not have an excessive waste/nutrient load in the tank, so skimming during the cycle would probably not be advisable.