Get a notepad and start writing situations you find funny. These can range from an experience you had at your grandmother's house over the holidays to the last day of school with your friends or the crazy ride to the hospital when your wife was having your child. True life provides comic material everyday. Start by writing about funny experiences you've had and consider how you would stage them.
Find older episodes of shows, such as "Saturday Night Live" and "Monty Python" and watch them. Watch them, not only for inspiration, but also so you don't accidentally copy what these performers have done before. Watch the actors, listen to their timing, make notes about how they handle conflict and comedy at the same time. Always have your notepad with you and jot down any ideas that come to mind for your own skit.
Find some actors to be in your skit and give them situations to improvise. Give the actors the basic information of who they are, where they are and what the conflict is in the scene. Watch and take notes as your actors handle the situation. They might come up with something you hadn't thought before. Encourage them when they bring out the comedy of the scene. Always, make sure the scene has enough conflict, because neither comedy nor drama can work without it.
Watch your actors perform the skit, once you've finished writing it. Sit back and watch it objectively, taking note of whether it's funny to you or not. Chances are, if you don't think it's funny, it's probably not funny. Take notes about what works and what doesn't work, then go back to writing. The skit might not be perfect the first time you watch it, but you're the writer. You decide when it's done.
Go to a local sketch comedy troupe and watch what they're doing. Take notes about when the audience reacts and when they don't. You can learn a great deal more watching a skit in a theater than on television, because you're a part of the audience. The actors are playing to you. Ask yourself what the writer could have done to make certain skits funnier. Take notes and review them next time you sit down to write your skit. You'll avoid some pitfalls that way.