[1] "comes naturally to me" does not NECESSARILY mean you are very skilled at something. Strictly speaking, it only means that you can pick up a skill easily, its instinctual to you, or in other words that you possess some in-born "talent". Even if you possess the talent, you won't necessarily be very skilled unless you take advantage of your talent by training it. To illustrate, learning languages comes naturally to human infants, but that doesn't mean they are SKILLED at speaking from the very beginning. With that said, most of the time "it comes naturally to me" is said, one can INFER or ASSUME that the person is highly skilled in that skill. Sometimes, this phrase is said AFTER someone is praised for being skilled as a sort of bashful excuse: "Wow! you're such a strong swimmer. Were you part of a swim club in high school or something?" "Ahh heh heh, Nah not at all. Swimming just comes naturally to me, even though I've only been to the beach a few times in my life." This is like saying, "I don't deserve so much credit for this skill because it didn't come from hard work, just my natural talent." which may seem like a strange concept depending on your culture. [2] #3 is definitely more correct in an academic sense, but you will hear people use phrases like #2 all the time. To be honest, #2 might make you sound poorly spoken to the trained ear, but the average layperson won't notice. Lastly, if you want to say you are skilled at something just say that! As I've written above, "it comes naturally to me" has a slightly different meaning. It means you have an instinctual connection to or understanding of something. If you use this in a job interview or something, the employer might think it means you have talent that can be trained up well, or they could just think you're arrogant and just rely your talent rather than hard work.

#2 and #3 are both fine. "Swimming comes naturally to me" means that you are a good swimmer AND that you are good at it without much practice.