Flaying, otherwise known as skinning, is an ancient, and particularly frowned upon method of torture and execution, which involves the use of a blade to remove several layers of the victim's skin, exposing nerve and muscle tissue, and leaving them in perpetual agony, assuming they survive the ordeal at all.

Why do the Boltons Flay?

The Boltons did not flay people to try and wear their skins, and no Roose is not an immortal being. Instead, they flayed people to stop them from warging, skinchanging. The current Stark kids have all been confirmed by GRRM to be skinchangers, probably the first generation of all skinchangers for centuries perhaps.

What did it mean to flay a man?

It means to peel or beat the skin of a person or animal, and not necessarily a dead one, either. Nowadays it more commonly means to criticize harshly someone or something, usually in public, leaving them raw and wounded. To be flayed alive was a common punishment in ancient times for political enemies or traitors.