How can convection help to cool your body?
Our bodies warm up the air or water immediately around them; convection takes this heat away.
HyperPhysics describes convection as "heat transfer by mass motion of a fluid such as air or water when the heated fluid is caused to move away from the source of heat, carrying energy with it. "
When we're surrounded by water or by air, our bodies heat up the layer immediately beside our bodies. This helps to insulate us and keep us warm. Think of it like being our own little "heat bubble." When wind blows against us, it causes the heated layer of air next to us to blow away. This causes us to feel cool because now our bodies have to heat up a new layer of air.
The same thing happens in water, but 25x faster. This is related to water's high specific heat capacity; it requires much more heat from our bodies to warm up that layer. That's why when we are wet, we are far more prone to developing hypothermia, although it still takes over half an hour even in cold water immersion to develop.
If you would like more information, check out Dr. Giesbrecht's FAQ page here. http://www.umanitoba.ca/faculties/kinrec/about/giesbrecht_faqs.html