Chandler Stephenson and Reilly Smith scored, and Adin Hill made 15 saves for the Golden Knights (22-11-1), who have lost three consecutive home games.
"We didn't finish well enough tonight," Vegas coach Bruce Cassidy said. "We had, off the top of my head, four breakaways, a penalty shot. We scored on one eventually, which got us some juice. Early on, we missed some open nets on the power play. That's the hope, if you keep generating at some point, you'll finish those plays. We did some of those in the third."
The Sabres scored three goals in the second period. Skinner gave the Sabres a 1-0 lead at 1:54, roofing a cross-ice pass from Alex Tuch.
Thompson made it 2-0 with a shot from the high slot at 7:16. He slammed on the brakes to let Golden Knights defenseman Nicolas Hague slide by, then shot past Hill for his 26th goal, two fewer than NHL leader Connor McDavid of the Edmonton Oilers (28).
"I get a lot of space out there with my linemates 'Tuchy' and 'Skinny;' They're both really good," Thompson said. "All three of us do a really good job getting in on the forecheck. Tuchy especially, he's just so fast. It creates a lot of time and space. That's the result of that goal right there, you saw, their forwards were leaving the zone. [Casey Fitzgerald] makes a great play stepping in there and keeping it in. So, great play by him and I was able to outwait the [defense] and find the back of the net."