Friction causes losses. And skipping has lots of friction, while you slide over the ground you lose a lot of energy due to friction between the ground and your shoe. Walking/running does work more like a wheel, the friction between your shoe and the ground doesn't stop you while walking because you make a rolling motion with your foot.

You put your heel on the ground, roll down the rest off your foot, lift up your heel and up in the air. While you're on the ground it's very much like a rolling wheel. Very effective, in general rolling friction is very low compared to the sliding friction. And when i say friction i always talk about the force that slows you down.

But there are exceptions to this. If you can avoid the friction while sliding it would be more effective. And if you've ever been ice skating you know it works. So if you're on a very slippery ground sliding is very efficient. But you need a way to speed up, with ice skates you have a very high friction when you move them sideways and you use a slightly angled foot to push yourself forward against this high friction. But if you're on the ice with your normal street shoes trying to walk won't be easy. You are used to the fact that your foot will stay where you put it down while walking and your body moves above it. But on a slippery surface your body will stay where it is and your foot will move backwards, well that's true until your foot disappeared under your body and your face moves towards the ground. In addition to that slippery surfaces aren't very practical if you want to make turns, usually you'll just go in a straight line.

And why does it feel more effective? You probably forgot the energy you used running before the slide, during the actual slide you don't use any energy. I guess that's why sliding seems to be very efficient, but than again you have to put in enough energy before the slide to get some speed and you'll slow down very fast during your slide (at least when you aren't on ice).

TL;DR While sliding the friction between your foot and the ground slows you down. While walking you use the friction between the foot and the ground to push yourself forward.