Here is an experiment I ran to show why cotton has NO place in winter. I took four one-gallon jugs and filled them with water at 114.5 degrees. I wrapped one in a wool shirt, one in a similar weight pile shirt, one in a similar weight flannel cotton shirt and the last one went "naked". I then turned the shower on them for five minutes to simulate a rain shower. I then turned a fan on them to simulate wind. I measured the temperature of each every 5 minutes for an hour. The results are shown below in a graph.

So, when Charlie Hosford says, "You are better of naked than wearing wet cotton when it is cold" appears to be true!