"Onion skin" in Photoshop

[freestyler]

I'm trying to add "Onion skin" effect to an animated GIF using Photoshop (CS5). I open a gif file, open "Animation" tab and enable Onion skin. The built-in preview shows it correctly - frames are neatly blended with each other. Okay, I click "Save for Web" (regular "Save" doesn't save animated GIFs), and... the whole Onion skin effect is not there anymore. It doesn't matter whether I make a new gif from scratch or open an existing gif - onion skin doesn't work. Restarting Photoshop doesn't solve it.
So... How to apply onion skin to animated gif using Photoshop?
If you don't know, then please, don't reply with spam. I did use Google, and it returned only two relevant sites - one of them has not been answered at all, the other one got no meaningful reply. This thread might be useful for other people who try to make it work.

[Furai]

Isn't onion skin just a view option? To see earlier frames of animation and allow you to decide what to do on next frame therefore it's not visible in ready .gif file? Maybe I'm wrong...

[freestyler]

That would make sense. How to add such effect to an existing gif then? (without inserting middle-frames manually)

[Espadon]

Wouldn't onionskin require alpha?

[Silnikos]

That would make sense. How to add such effect to an existing gif then? (without inserting middle-frames manually)

I haven't used PS for ages now, but there was an option in ImageReady (Photoshop's part resposible for animations) to do it. Try right clicking on frame or select 2 frames and right click then, there should be something like 'smooth frames changing' or something, which will add the frames between automatically.