Pretty new at this, but I thought I would offer my $0.02.
Mackerel - always leave the skin on. It keeps the fillet together, they are thin enough that the flavour goes right through them, and if it sticks to the rack (I have a pretty low tech set up) I am only losing the skin.
Salmon - I have done both, and will probably continue to do so. For chunks, I take the skin off to get the smoke evenly through the whole filler, but for a big fillet I will leave it on to keep everything together. I plan to try making cold-smoked salmon bacon at some point, and I will def leave the skin on during the first try to hold it together and to make it more sliceable.