A thin layer of heated air exists next to the body. Air movement decreases this heat. Heat moves from one source to another. Water cools the body 10 times faster than air. Wet clothes and immersion in water causes the rapid conduction of heat away from the body.
Water changes into vapour.
Sweat will dry on the skin and results in cooling. Heat is radiated from the sun or other heat sources such as a stove. Wear clothes that breathe. Use a wind and waterproof shell for outside cover. Down is useless when it wet.