Personally, I would. A dog doesn't digest vegetable matter well at the best of times, and I really doubt he's going to digest the skin on sweet potato. Are they cooked? If so, I don't see it as a huge issue really - he probably still wouldn't digest it but should pass it OK.
The skin on normal potatoes is a different matter though. That and any green parts are somewhat toxic (actually green parts on potato are toxic to humans too) and should be removed before feeding.
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I gave Moon sweet potato for the first time Sunday as a treat and he loved it. It was so hot here and I couldn't bear to turn on the stove or oven so I poked a bunch of holes in it and microwaved it (large sweet potato, 6 minutes or so turning every once in a while). Then I cut it into chunks and the skin easily came off. Once it was cool, Moon enjoyed his first (of likely many) sweet potatoes!