I used this exact setup until a week ago so let me see if I can help. You have installed all the diffrent apps. The main weather widget donate and the extras right?? The extras is called weather widget forecast. That is required to change the skins.
Ok just re downloaded from market and went through the setup and it worked no issues.
I have in the past when changing ROMs ran into a couple times where it did not want to set and I re-installed and it worked. That could be the issue. However make sure you have both apps installed and not just the main one for weather widget donate.
To just cap what I just did on my phone. DL both apps. Put the widget on my screen with the default options. Went to the settings applied from SD cause I already DL the h7c a long time ago. Pick h7c and it then showed that it was picked in the little box at the top. Hit OK and it said that the skin was applied. Hit home and then it took about 15 secs and it refreshed and set the new skin. Kep me posted. If there is more of an issue I will try to see if I can hack up a file to do it for you, but not sure if I can.