They definitely form three different sounds, albeit sounds that are difficult to distinguish between for many learners - and even a few natives in the case of 'skj-' vs. 'kj-'.
'kj-' is pronounced farther to the back of the mouth, with no discernible 's' sound at all, and is typically the one people struggle with getting right. The same goes for 'ky-', as in "kylling", and 'ki-', as in "kilde".
The good news is that if you can hear the difference, then you're already one step ahead. :)
As for the pronunciation of 'sk-', it's a bit trickier. In Old Norse, words beginning with an 'sk-' would always be pronounced the way they were written - without any 'j' sound sneaking in. In modern Norwegian it's not quite as simple:
'sk-' before 'i', 'y', and 'ei' is pronounced with a 'shj' sound.
'sk-' before 'a', 'e', 'o', 'u', 'å' is pronounced with a regular 'sk' sound.
'sk-' before 'øy' can't seem to make up its mind: "skøyter" with 'shj', "skøyer" with 'sk'
These are the general rules, but there are plenty of exceptions - particularly in the case of loan words. The word "skøyer" above is but one example, borrowed from Dutch.
"Kj" is more like a strong H sound, right? Like the german "acht" (or at least something similar I guess). And "Skj" more of a "sh" sound, no?
The real struggle for me is saying the "Tj" sound in "Tjuefem" for example. It's such a weird sound! From what my bf explained, it should be a mix between the "kj" sound and the "skj" sound.. Drives me crazy XD
Don't know if you have figured out how to make the sounds or not but for me this is what i do. skj sounds like a softer "sh" so just do a regular "sh" in english but make it not so harsh. And then for kj, make a "sh" sound and notice how the tip of your tongue is pushed upward against your pallette (top of your mouth), move the tip of your tongue downward toward your bottom teeth and the middle of your tongue to the roof of your mouth, and with a relaxed mouth say "sh". Hope this helps