Shed skin will work, I have seen it, but...
I had no such luck trying it. The skin needs stretched out, and sheds are so thin, it will either tear, or you will find air bubbles too hard to get out.
As for how to keep it, no problems here. I cut the shed so its flat, then roll it up and keep in a ziploc.
For reference, the shed I tried was python, which has much larger scales, and may very well be easier to get air bubbles under. You may have better luck with that skin.