Air is a very poor thermal conductor. Therefore, its heat cannot be effectively transferred to your hand. If you touch the shelves made of iron, heat can be transferred quickly and you will be burned. If you leave your hand in the oven for too long, however, even just the air will transfer enough thermal energy to roast you. The body looses heat due to breathing.
Cold air is inhaled and warm air exhaled.
The exhaled air is also more moist than the inhaled air. This water loss is actually part of the evaporated water calculated above. Within the body heat is transferred mainly by blood flow. Blood is warmed as it passes through the heart and lungs, and cooled at the body surface.