I think you might be missing something... maybe. I might be confused too.
Every product characteristic can be updated, including SKU, for each option combination.
Behind the scenes there is a separate product created for each option combination possible and you can go in and edit the SKU's to be unique after adding the options.
You do not need to add separate products if you want them to appear on the same page as options with different sku's. You should be adding a single product, defining the options, and then updating the SKUs for each option combination.