While launching a single one-way probe to Mars almost seems like a simple prospect these days, launching a small manufacturing complex into orbit and moving it to Mars would be an extremely difficult endeavor. You'll need many large rockets just to get everything into Earth orbit, and then additional rockets to transfer from Earth to Mars. You'll also need some way to land it on Mars without destroying it.
Then there is the matter of Mars probably not having much in the way of radioactive material, so you should probably bring that with you too if you want to make nukes. So more rockets for that.
Also, we don't know how much of the other elements will be available, so you better bring enough so that you can build a return rocket if need be. You don't want to get stuck there and be unable to make anything. So even more rockets
And what are you using for fuel/power on Mars? You could build an orbital solar factory, but Mars is further from the sun so it will need to be larger. Alternatively you could use a nuclear reactor, but make sure you bring extra radioactive material to fuel it. And you guessed it, these will need even more rockets.
Building and fueling all those rockets will require massive amounts of infrastructure, which would be very hard to hide and protect from the resistance. Never mind that if the pesky humans instead sabotage the rockets themselves, causing them to explode after lift off, you'll have lost whatever cargo you were sending up so you'll now need to rebuild the rocket and the cargo.
Even if you should manage to get everything you need into orbit and finally set off to Mars, you're now looking at at least 18 months where you can't do anything. Then once you get there you'll need time to get established: dig mines and build your new launch center. Of course those humans have now taken over Earth, a planet much richer in resources. They probably also stole your rocket plans (they found about your time machine after all), so they'll be racing to rebuild their space program and get nukes launched at you before you can get any up.
All said, going to Mars probably isn't a good idea. The time just to get ready to go there would be long and fraught with human interference. Traveling there takes a year and half, during which you can't do anything but the humans are constantly working. Finally, once you get there you'll need an indeterminate amount of time building your infrastructure before you can launch your first missile, during which you're constantly wondering when the first human missile will hit you.
To answer the question "why not go to space and do something" from the comments: Earth is the prize that humanity and Skynet are fighting for. It is reasonably hospitable and has a good amount of raw materials. Any attack that would guarantee to wipe out humanity from orbit would make the surface very inhospitable: dust and debris in the air, radiation storms, acid rain etc. If Skynet were going to go into space it may as well just leave Earth (sterilize it if its particularly spiteful) and head off into the galaxy. But at that point we're no longer talking about Terminator and the answer is out of scope.