We theoretically study the non-Hermitian topology of magnons with finite lifetimes due to Gilbert damping. By incorporating the spin-wave theory and perturbation theory for the Landau-Lifshitz-Gilbert equation including nonlocal damping terms, we analytically evaluate the spectral winding number for point gaps, which indicates the existence of the non-Hermitian skin effect (NHSE). We find that, in noncollinear magnetic textures, the NHSE can occur even in the absence of nonlocal damping, due to the momentum-dependent mixing of the particle and hole components of magnon eigenmodes, which is absent in collinear magnets with a single magnon band. In the presence of nonlocal damping along one direction, we show that the winding number for an energy band with a unique minimum is determined from the sign of the wave number at the band minimum. We demonstrate these results using a model that hosts a skyrmion-string lattice as a steady state. We further investigate spin-wave propagation dynamics excited by a magnetic-field pulse and show that the propagation direction changes drastically from band to band depending on the presence of local and nonlocal damping, consistent with the nontrivial winding numbers.