The management of early skin GVHD for most patients involves treatment with steroids, given both as a cream and by either the mouth (in pills) or IV. Early skin GVHD is also called grade I GVHD, which means the skin rash covers less than half of the body. Steroid treatment can be effective; however, it also causes many complications such as an increased risk of infection, weight gain, stomach ulcers, muscle weakness and bone damage, among many others. We have developed this study to test whether starting treatment with etanercept and steroid creams alone can treat the GVHD without requiring the use of high dose steroids. The goal is to avoid the complications that come with high dose oral or IV steroid treatment. The high dose steroid treatment would only begin if your GVHD got worse.