It means you need to think about that and really absorb what it means.

In order you explain, let me break down more of the monologue. "He crossed me." Here, Walt is letting Skyler assume that he personally killed Hank for betraying him; first by arresting him, and then attempting to confiscate his money. "You think about that. Family or no." Walt is telling Skyler to think: If he killed Hank, and Hank was family...Walt would kill any family member that betrays (crosses) him. "You let that sink in." Walt is asking Skyler to let the full weight of what he has just said not be second-guessed. It is what it is. I will kill anyone that crosses me, and you'd best not forget it. Hence, the word "sink". He intends for that statement to lie deep in her head, where it won't be easily forgotten.

"You let the sink in"- It takes time for you to understand and feel what has happened.