skinwalkers are witches, practitioners of the dark arts actually. so, much like the curse or selling your soul type legends of werewolves they would fall into that gray area. (thats why i find it interesting how , many legends across many cultures have the same basis of a belt or pelt to activate the change) ( not interesting because of the werewolf but more so in the idea of the magic involved, and how that belief crosses cultures.....the werewolf is not a magical entity, but something entirely different so should skinwalkers even be thrown in with them?). as oz stated above, i think a tulpa type entity may be possible but not a flesh and blood creature just from thought. slenderman, the rake etc.. i think are just urban legend, creepy pasta stuff that makes the rounds of the internet.