Yes, the effect of humidity on insulation is a very real effect, perhaps better documented for building insulation then for clothing, although it's well known among outdoors enthusiasts that cotton loses its insulation value rapidly when it's wet to the point of being soggy. Of course, that's complicated by the fact that the local environment between the shell of your outer layer and your skin might have different humidity than the outdoor air, especially when you first step outside and form the impression of how cold it feels.