Unless your air temperature is higher than your body temperature (37 deg C), won't higher humidity mean more of your heat is lost? This is why we call desert climates 'a dry heat' or 'a dry cold' in winter. Conversely, a 'damp cold' might not be that low a temperature, but you really feel it.
I can't say I have experienced what you are describing. Proper heating means that the room temp is 18-23C, so less than 37C. I guess 23C would feel warmer in higher humidity (>50%), because it inhibits your body's ability to cool itself effectively via perspiration. But this would depend greatly on your physiology and level of activity. Is this the mechanism you are referring to? Anyway for me I like my house at 18C and 30% humidity.
My understanding is that dry cold air doesn't feel as cold either...
I learned from a swimming teacher "water transmits heat/cold 10 times faster than air", therefore a logical conclusion is that dry air is insulating more than moist air.
Heat and cold transfer in air happens, just take your shirt off, you feel the temperature change immediately. Go to a very, very cold climate with dry air, if there is no wind, it truly doesn't affect you that badly. Same with Arizona in the summer ("it's a dry heat" is a state motto, IIRC)
