Well that is a funny way to put it.
We are closer to what you humans would probably call a solid ghost. We are basically void energy that solidified and gained a soul through the passage of time, one of the reasons we also live for a long time and why when we are killed all that is left is our core, the void essence. The void essence is the most important part of our being allowing us to form a soul and be born. So returning to the main question we feel more like a cool smooth surface maybe like a cold polished gemstone though that is our skin we also have a solid aura of void essence around us the same way cat have hair all over their skin, and that aura would fell more like a palpable fog with a slight chill to it since void energy is cold by nature.
All in all I think my cousin Krobus would not mind if you just asked him to touch his arm or something like that, after all he would understand that kind of curiosity since he himself his also curious about lots of human things.