I agree that "slim" has a much more positive conotation than "skinny." However, working at a gym, I often hear people say, "I want to be as skinny as her!" or "You are so skinny! What's your secret?" It is not always meant or taken as an insult. But to be on the safe side, use "slim" if you are speaking of someone's physique in a positive way. You will probably not hear anyone say, "She is too slim." But you will often hear, "She is too skinny."