Earlier quoted context omitted.
doesn't humid air "feel" warmer, though?
Warmer if it's warm, colder if it's cold. I think the deal is that it's more efficient at transferring heat to/from your skin.
Yes, but not quite for the reason you give. See below.
> colder if it's cold.
This I don't agree with. Cold air can't hold any significant amount of water vapor to begin with. It is true that a cold, rainy day feels colder than a cold, dry day with the same air temperature, but rain isn't humidity; rain is water, not water vapor.
> I think the deal is that it's more efficient at transferring heat to/from your skin.
Not quite. The deal is that your body sheds heat by evaporation of water (sweat), but water can only evaporate if the surrounding air is not already saturated, and the closer the surrounding air is to being saturated, i.e., the more humid it is, the less heat your body can shed before the air is saturated.
In cold conditions your body wants to retain heat, not shed heat, and the humidity in the cold air doesn't really affect that at all, because, as above, there just isn't enough of it in cold air to make a difference. What does affect your body's ability to retain heat is dampness or rain, i.e., water, not water vapor; the extra water (far more water than you would generate by sweat on a hot day, or than exists as water vapor in cold air) sucks heat out of your body because the water is colder than you are and has such a high heat capacity (even if it doesn't evaporate).