How do I attach skirting boards to a plaster wall?
Typically a contractor will use a brad nailer such as this:



Brads (A thin wire nail, glued together like staples) generally are long, and driven at a high speed and won't split the molding.   

The advantage of brad nailing is that in the future, the molding can be removed without damage to the molding or the wall behind.  

Note that you will still need to caulk the edges and cover the heads.

Aside: If you need to remove the molding later, pry it off with a thin prybar and remove the brads with pliers, pulling through the molding via the bad side.  Don't try to pull them out from the good side.  It's difficult, and will damage the face of the molding.