Sometimes it's a matter of playing with that screw and adjusting where it clamps on the the shifter cable, as well. In setting up my new bike I couldn't adjust it with the screw so I ended up having to move the cable in the FD a mm and then playing with the screw again. Also, depending on the cassette you have, the skipping might be due to the chain not coming over the teeth exactly, I had that on my new SRAM cassette with the weird cutout teeth until I fiddled hardcore.
Volones, WD40 isn't a lube! I'm surprised your chain didn't blow up after wd40ing it and not relubing!
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