Having spent the better part of two days insulating the skylight wells in our home, and having found little information on-line regarding the process of insulating skylight wells, I will share my experience below so that others may benefit.
The biggest problem that I encountered while insulating our wells was that the pitch of the roof on our house is very shallow. As such, it was impossible for me to stand up in the attic, so I spent all my time on my hands and knees. This meant that all my movements from the ladder up to the attic to each individual well had to be carefully planned and slowly executed so that I didn't put a foot through the ceiling of the rooms downstairs. The very small space also meant that I was not able to reach what we call the "front" of each well. The front of each well will have to be insulated by blown-in cellulose insulation.
I used 2" thick rigid foam insulation on our wells. Each 2" of thickness gave us an R-value of 10. So, by applying two layers of 2" insulation, I was able to get an R-value of 20 on the well walls. This is less than what our attic will ultimately possess, but it is a better R-value than the rest of the attic currently has.
If your skylight wells are all the same size, and in the same position relative to the roofline, you can save yourself some time by making a few template or pattern pieces. Then, you can cut all the pieces you need at once without trekking up and down the ladder between pieces every time.
Make measurements of the pieces you'll need before installing the wells, if possible. This means making measurements of what is, essentially, empty space bounded by framing materials for the well walls. However, it will be easier to make these measurments while standing on a ladder inside the wells (before the well walls are installed), than it will be to make these measurements while crouched over in the attic.
Use rigid foam insulation on the well walls unless you have a fully framed structure into which you can put traditional, rolled fiberglass insulation.
Use a foamboard adhesive to affix the foam insulation to the well walls. Don't just use Liquid Nails or another construction adhesive. These will eat away at the insulation.
Use a respirator while crawling around an attic filled with loose fiberglass insulation of unknown vintage. Using a respirator will also prevent the adhesive fumes from scrambling your brain.
If you are insulating the wells in the dark heart of winter, keep the adhesive warm (60-70F) until you are ready to use it. Warm adhesive is easier to squeeze out of the canister with a caulking gun.
Buy more adhesive than you expect to need. Buy more wood to lay down in the attic that you expect to need. The more wood you put down in the attic to support your weight, the easier it will be to move around.