Skin depth is larger in aluminum but not enough to balance out its lower conductivity, copper is better material taking all into account, in practice both are good. If opposite was true we’d use lead or zinc for conductors. There are satellite microwave parts made out of aluminium (low weight) coated sequentially with zinc (bonding layer), copper (better conductivity), thin layer of silver (even better conductivity) and then gold (actually not thick enough to contribute, this one is for corrosion protection)