I bought a small plucker on amazon for under $100. It works great. Before that I was skinning them, since it’s much easier, but they do taste better with skin on. They don’t have much fat so the skin helps. Plucking them with the plucker was faster than skinning.
Yes, I would agree that skin is good to retain moisture and protect meat while cooking. Maybe we will invest if we decide this is a thing we will do regularly. Here is a pic of my quail from last night. They were browned in a cast iron pan (3 min per side), followed by about 12 min in a 450F oven. Skin-free and they didn't dry out, but it would be easy to dry them out without the skin.