Have a look at ?dnorm, and rather use the standardized value as argument in your function, in addition to mean and sd:
a_<-dnorm((0.001-0.0001)/0.4, mean=0, sd=1)
Hope it helps
[EDIT] Likewise from ?dsgt
st<-(0.001-0.0001)/0.4
skewt<-dsgt(st, mu=0, sigma=1, lambda=0.1, p = 2, q=5, mean.cent=TRUE, var.adj=TRUE)
results in skewt=0.4302996 (close to your value)
For an explanation of the differences between Hansen(1994) and the recent references used in dsgt maybe it's worth posting a thread to Cross Validated (see link for related discussions)
Hope it helps