That depends, there are two systems that I know of. ABRSM and RCM, I believe ABRSM is more difficult than RCM.
I never really cared much about grades, I just want to improve and make music. But grades are useful as a standard in keeping gradual progress and being well-rounded (not neglecting weak areas).
You can skip grades if that's where you're at, nothing wrong with it. I doubt your teacher would put you into something you couldn't handle.