I am rarely (if ever) a fan of skits where subtitles are required throughout the entire skit to understand what is happening. The subtitles are rarely large enough to read comfortably. If they are, they are often very distracting from the action on the stage. It's easy for audiences to get bored, moreso when the skit isn't in their language.
I realize not everyone in the group may be an actor, but in this case it might be better to have the group record their own lines. If someone "sounds" more like a character that isn't theirs, they could also consider swapping parts for recording purposes (example: the Yugi cosplayer sounds better as Kaiba; have them switch for recording purposes only). If the entire group isn't comfortable with speaking parts, maybe have other friends help with the recording by speaking their lines for them.
The method you used is a great idea when the source is dubbed, but I don't think it's going to have the same success when the primary language is not the native language of the audience majority.