Doug Kay and Paul Figgiani of the Conversations Network give a 22 minute comprehensive instuctional video on recording Skype interviews Well worth the 22 minute time investment..
One thing they explain is how to punch a hole in your router to allow direct connections between you and the person you are on a Skype call with and avoid relays. I have a Dlink DI-624 router so this is what it looks like to set this up for me:
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