I was pretty happy with the results.
I not only did not tell the players that they were "in" a skill challenge, I likewise did not mention that they would be rolling skills. I got answers that ranged from "I try to hide" to "I just fucking try to outrun them", after which I prompted for ability or skill checks. The player that was just trying to hoof it as fast as possible was spotted and surrounded, so I asked them how they might try and help him out. One player declared that he was going to knock some barrels onto them, while another wanted to sneak up behind and backstab one. Again, prompted for dice rolls, got a bunch of successes, and ruled that the one who got surrounded managed to get away with a few scratches (ie, lose a healing surge).
Things went on like this until they got to Balic's slums, which ended up being some odd 3-4 series of dice rolls. I think I found my skill challenge "method"; I never really declared that a skill challenge was starting, but often called for skill checks. I think I am going to take a more "Dresden Files" approach and just ask them how their characters would try to resovle a situation or do something. I am hoping that players will try making attack rolls or using powers. Also, I think that I am going to ignore the skill challenge success/failure system and just keep things rolling in whatever way makes the most sense.