That is true here you can calculate how cold it feels when there is wind. (it is in dutch but i think you can check it out ;))
But back on topic now. ;)
its called evapourative cooling,wave your finger in the air in front of you and feel the temperature,now lick your finger and wave it in front of you and you will feel it is much colder,this is because the moisture on your finger is evapourating and while doing this it is absorbing the heat from your body making you colder :D