Are the skins bothersome? I usually take the skins off tomatoes I cook.
I cook a frying pan full of cherries in olive oil until very soft. Then I put it in a blender with garlic and whatever else you like in your sauce. The skins just disappear.
I leave skins on, fry some up in olive oil/garlic and mix with pasta and add some fresh basil.....too easy!!
Some varieties will have thicker skins but I don't notice a problem. I definitely don't peel the ones I cook up as a curried cherry tomato sauce (almost like chili sauce). Skins disappear in the food processor the same as other person notes.
I have a recipe for cherry tomatoes, orzo and broccoli that is wonderful. tomatoes barely cooked.
Often asked over on the Harvest and Cooking forums here as the skins bother many.
Simple solution is to toss them into a ziplock bag and freeze. When they thaw the the skins slip right off and can easily be picked out of the tomatoes before cooking.
About the skins: 50% of the nutritional value of the tomato is in the skin and seeds.