I haven't read it, but a recent review (https://lrb.co.uk/the-paper/v42/n11/steven-shapin/drain-the-..., possibly behind a paywall) suggested Sonia Shah's The Fever to be a better book on the topic.
The second big factor is what it would need to develop. This isn’t a directed process - something needs to confer a benefit of some sort early to be selected for, not just after hundreds of generations. If you’re talking about a major change like completely changing mammalian skin, that sounds very complicated compared to other things (such as improved immune function for the specific disease killing people), and there’s an arms race if all you’re doing is selecting for mosquitoes with better bites which might not be winnable.
Finally, there’s the question of downsides: do the mutations producing this leave you more vulnerable to other conditions, less likely to attract mates, etc. If that tough skin costs more to grow, you’re paying the cost upfront even if you’re living somewhere without a huge mosquito population, so it might be maladaptive for too much of the total population to maintain.
The downsides discussion is particularly relevant in the case of sickle cell anemia, which is believed to be a side effect of an evolved malaria resistance – beneficial if you live in an area where it’s common but a net loss if you do not:
https://www.newscientist.com/article/dn20450-how-sickle-cell...