The surface impedance approach is discussed in connection with the precise calculation of the Casimir force between metallic plates. It allows us to take into account the nonlocal connection between the current density and electric field inside of metals. In general, a material has to be described by two impedances Zs(,q) and Zp(,q) corresponding to two different polarization states. In contrast with the approximate Leontovich impedance they depend not only on frequency but also on the wave vector along the plate q. In this paper only the nonlocal effects happening at frequencies <p (plasma frequency) are analyzed. We refer to all of them as the anomalous skin effect. The impedances are calculated for the propagating and evanescent fields in the Boltzmann approximation. It is found that Zp significantly deviates from the local impedance as a result of the Thomas-Fermi screening. The nonlocal correction to the Casimir force is calculated at zero temperature. This correction is small but observable at small separations between bodies. The same theory can be used to find more significant nonlocal contribution at ~p due to the plasmon excitation.