Before you can use the Skylight HUD to save and apply WindLight presets, please make sure that you're using an RLV capable viewer (such as Firestorm) and that RLV is turned on (in Firestorm you can turn it on in the Preferences > Firestorm > Extras > Allow Remote Scripted Viewer Controls (RLVa)).
To apply a preset, open the Skylight web page by clicking the "Open HUD Webpage Display" or "Open Browser" button on your HUD and clicking the of the respective preset.
If you have favorited a preset, you'll see a color-coded representation of it in the middle button bar of the HUD. Simply click the corresponding button, and the preset will be applied.
To add a preset to your favorites, click the button of a preset on the web page.
If you created a new preset in your viewer's environment/sky editor or downloaded a preset and you want to save it to your Skylight, you can either
If you save the new preset from the web page, it will be displayed immediately. If you saved it from the HUD, click the "Reload Presets" on the web page to make it show up.
Note that if you saved your preset in the viewer, you should use the same name in Skylight so it can be applied faster. However, you're not required to save the preset in the viewer, i.e., it is fine to only save it Skylight, and you will still be able to apply it.