We report comprehensive Monte-Carlo studies of the melting of skyrmion lattices (SkL) in systems of small, medium, and large sizes with the number of skyrmions ranging from 103to over 105. Large systems exhibit hysteresis similar to that observed in real experiments on the melting of SkLs. For sufficiently small systems which achieve thermal equilibrium, a fully reversible sharp solid-liquid transition on temperature with no intermediate hexatic phase is observed. A similar behavior is found on changing the magnetic field that provides the control of pressure in the SkL. We find that on heating the melting transition occurs via a formation of grains with different orientations of hexagonal axes. On cooling, the fluctuating grains coalesce into larger clusters until a uniform orientation of hexagonal axes is slowly established. The observed scenario is caused by collective effects involving defects and is more complex than a simple picture of a transition driven by the unbinding and annihilation of dislocation and disclination pairs.