Thanks for getting back to me Joe!
Yes, this is what I have done; stripped everything out of the skin to its absolute bare bones and still I am not getting the results I need. 265kb is a massive reduction but it is still very big for a WAP site which the recommended is 20kb (which I think would only be possible if you were building a static Mobile site not running off a CMS system like DNN).
Here is my WAP site:
http://bit.ly/aIy7z4 And here is my template: (See attached)
As you can see, the only thing I have added is the CSS for the layout of the site.
I will try Oliver Hine's "optimized" skin objects now but I think this is a topic worthy of delving further into because besides mobiNuke, nobody else has really done something about this which is a shame because even Joomla have an AWESOME free mobile plugin for their CMS.
Thanks Joe, I will get back to you and let you know how things go.