How do I add a Category/Skill/Filter page to my site?

WordPress automatically creates category/skill pages in your theme. That means, you don't need to create a new page. In order to add that page to your menu, you just need to navigate to Appearance > Theme Options and click Screen Options in the upper right hand corner of the screen:

Then just click category name you want to add to your menu. Depending on your theme, this could be "Filter", "Sort", "Skills" or "Category":