Can I "skin" edges to be a round pipe, not rectalgular? I had created a spring-like edges like the first image below. I applied the "Skin" modifier, but it made the line to be a rectangular pipe. Can I make it a round pipe? The modifier has only "Branch Smoothing" value and it does not seem to do anything.
Sure. You can use two modifiers, either the bevel modifier or subdivision surface modifier. Bevel is nice if you don't want to add any loops along the axis of the screw.

Using Bevel :



Wireframe :


Using subdiv :



Wireframe :