You can place the duplicated anywhere you want in your project. To modify it, drag and drop it in the scene, make whatever changes you want and don't forget to hit "Apply Changes" in the Inspector! Otherwise your prefab won't be saved.
We recommend placing the prefab somewhere different than the Plugins/GameCreator/ subfolders. Otherwise, when you update Game Creator or any other module your prefab may be destroyed.
Once you're happy with your new skin, you can safely delete it from the scene (remember to apply the changes!) and drag and drop this new prefab into the skin field in the Preferences Window Dialogue tab.