There's a hundred and one ways to do it (and all of them are illegal for the record, not that there's any ethical issue, but there's a very slight chance you could be in mild legal trouble if you show it to the wrong person, and you could certainly have it confiscated if you show it to the wrong person, though if you quietly keep it in your own home you're presumably not going to have any issues).
You can tan the skin, pickle it in alcohol or formaldehyde (or metho if you don't want to go to the hassle and expense of sourcing preserving alcohol or formaldehyde), taxidermy it, freeze it, desiccate it, etc, depending on how long you want to keep it and what you want to do with it.