Check The Opening

Due to the nature of a circular saw blade, your piece of roof may or may not fall out of the way nicely once you complete your cuts. Watch for this and be careful. You don't want anybody under neath it while you're cutting. What I do is cut almost to the end of each corner and then finish it off with a jigsaw. It makes a nicer, more controlled cut.
Incidentally, you can install yourself a 'cleat' on the roof for better footing. A 2x4 about 3' long can be nailed flat into the roof below where your light will be. Then you can use it to help keep you from sliding. When you're done you'll have to fill the holes with silicon.

Skylights With a Curb

For lights that are installed on top of a curb, you'll probably have to build one yourself. Your instructions for the skylight should help you out with this by giving you dimensions. Basically, the inside of the curb is the same dimension as the hole you just cut. So if you use 2x6 lumber, you'll have to add 3" to the length (for the sides) and cut the top and bottom pieces the same as the hole width.

Framing It Out

If your skylight happens to fit perfectly between two rafters, great. All you'll have to do is install some headers at the top and bottom of the opening. If you span three rafters, and had to cut into one (in the middle) you're going to have to install double-headers. You'll also have to cut away more of the center rafter in order to make room for the double-headers. If your skylight will be this large, post a note on the forum prior to opening the roof, I'll give you detailed instructions.
If the skylight is a bit smaller than the opening between the two rafters, you'll have to install jack rafters in addition to the headers. Be sure to use suitable lumber for framing members. If you roof is constructed with 2x4 trusses, you can use 2x4's. If it conventional 2x6 rafters, you'll need to use 2x6 stock.

Jack Rafters

Jack rafters are nailed along side regular rafters or trusses. You'll install any headers first, then measure the distance between them and cut your jack rafter to fit there. They give something stable for the skylight to rest on and increase the strength of the edge of the roof so it doesn't sag.