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Well, a good starting point for a request for advice would be to tell us what exactly you mean by "I don't have sufficient math skills".  Does that mean you got a C in calc1 or does it mean that you're not sure if you are qualified for an MFE because stochastic calculus wasn't offered at your university?

This also heavily depends on the programs you are trying to gain admission to, and, for example, if they offer refresher seminars in mathematics which may help you fill in the holes in your understanding.

Programming can be picked up rather handily by those with talents for it, however, I've seen many an otherwise-smart person struggle with the abstract thought that being an effective and efficient programmer requires.  Thankfully for you, even the most programming-intensive requirements (i.e. Baruch MFE's) are met with a basic programming class, or self study really, but just realize that you'll have a harder time demonstrating aptitude without a grade next to a class.  Just realize that if a program requires something of you, you are likely to have to use it a lot, and you should be sure you are very comfortable with it.

I personally would never consider getting a second undergraduate degree.  Take night classes at your local uni if necessary as an alternative...