Everything everywhere is always trying to reach the same temperature forever, even your body. You generate heat to combat this constantly. A thin layer of water wicks and transfers heat better than dry skin.
If there is a small layer of water on your skin in a cool environment, then it will transfer heat from your body to the cool air quickly.
If there is a small layer of water on your skin in a hot environment, then it will transfer heat from the air to your body quickly.
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