I ended up using Milkshape to import the .psk, then import the .psa.
If I used it the other way around it would crash, I guess because it had to have the skeleton loaded before the animations.
I ended up finding a much easier solution to my entire original problem, which was importing a custom humanoid model and a skeleton for it using the HumanMaleA animation set. I'll write up a tutorial once I have it all finished, because I found this quite hard to find on the net and others may find it really helpful.
I found a maya script which constructed a complete UT2004 original skeleton, which made my life so much easier. I'll post a mirror for it when I get a chance.