Borderlands 2, skin and head problems

It sounds like you got a skin for a vehicle you don't have unlocked yet. There's multiple types of vehicles in Borderlands 2 (not just Machine Gun vs Rocket Launcher), and skins only work for one vehicle.

You can check the vehicle your skin is for before you use it, but once you use it you'll only see it when you see the skin in the menu. Skins are unlocked regardless of whether you're using the class/unlocked the vehicle in question, and they're unlocked for all of your characters.

Keep playing and you'll get the vehicle the skin matches. The skin should show up with "NEW" next to it when you unlock the right vehicle.

A fairly straightforward explanation for this is that the skins are saved on your console profile. So progress you make as the User[1] persists until you close the game and then is lost because there is nowhere to save it. I don't know that to be a fact, and with some web research I could not track it down, but it would seem to be the only way it would feasibly work. I have observed this behavior anecdotally on other games, but I don't have Borderlands 2 on PS3 to be able to confirm.

So, to address this issue, create a second profile on your PS3 and log into it when you are playing couch co-op as the second player. Your second account should not need to be registered to PSN, although it is free so there isn't really a downside other than the hassle. I'd suggest trying it with an offline profile first, and then registering with PSN as a last ditch.