You shouldn't have to pass on going skiing with your friends if you need to use oxygen therapy. In fact, portable oxygen for skiers happens to be a great idea, even for those who don't have a chronic lung disease. Being at high altitudes can make it harder to breathe, and can cause what is known as "acute mountain sickness".
If you have a chronic lung condition, you should consult your doctor before taking part in this physical activity, whether or not you use oxygen therapy. If your doctor gives you the okay, he or she might advise that you use a portable oxygen concentrator while doing so, even if you don't usually need one.