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If you're tipping so far into melodrama that you've called your villain The Skull, then embrace it and capitalize "The." You can even make a bit of gallows humor out of it and have the protagonists...
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#4: Attribution notice removed
Source: https://writers.stackexchange.com/a/10601 License name: CC BY-SA 3.0 License URL: https://creativecommons.org/licenses/by-sa/3.0/
#3: Attribution notice added
Source: https://writers.stackexchange.com/a/10601 License name: CC BY-SA 3.0 License URL: https://creativecommons.org/licenses/by-sa/3.0/
#2: Initial revision
If you're tipping so far into melodrama that you've called your villain _The Skull,_ then embrace it and capitalize "The." You can even make a bit of gallows humor out of it and have the protagonists joke about whether Jack The Ripper or Winnie The Pooh were named for him, whether he stole the idea from The Donald, etc.