"I did. Lovely fellow. A little awkward, but I'm used to it." Because he's a skeleton. "And it isn't a bad idea. ...Ah, but see, that is exactly what I'm not supposed to say."

He is absolutely making fun of the situation. After all, stealing the boat is precisely what Skulduggery thinks of as Plan B. Plan A, of course, is the egotistical notion that he might somehow negotiate the captain's unconditional surrender. (It wouldn't be the first time he's tried, although the captain would be his first successful attempt.)

"Although, I'd put a pin in murdering the captain for now. Even if we knew how to kill him, his death would likely mean the destruction of the ship as well as all of us. As things stand now, at least."