Skiing is going through an overhaul and will be different in the next release.
That said, the current system essentially applies a big penalty in the PC when walking through deep snow and a lesser one when skiing, with no(?) penalty when traveling over terrain without snow, like indoors (since skis are carried in the inventory at their full weight when used, you might consider the game to just have you pick them up and carry them around while on a surface unsuitable for skiing, while still blocking the ability to run).
The main problem with snow is that it's exhausting to travel through it, and it's a lot worse without skis in deep snow. Regardless of whether you're using skis or not, when the snow is deep enough all moves build up fatigue, as opposed to walking when there's no snow, which reduces fatigue.
Also, skiing is a skill, which means that the fatigue reduction from using skis in deep snow is fairly small at low skill levels, but it increases at higher ones (i.e. you can get a lot further before being exhausted at 100% than at 1%).
It's also worth mentioning that these skis aren't the modern sleek plastic things, or even slightly older wooden ones. These old skis were more like snow shoes than modern skis, in that a lot of the time you'd more or less walk with them, gaining the benefit of not sinking down as much into the snow, with occasional cases of actually being able to glide (on ice, crust, or downhill slopes).