Suppose a man falls into very cold water and gets their foot stuck under a heavy rock.  Fortunately, his head is above water and someone is able to call for help.  The paramedics want to keep him warm while they work on freeing his foot.  They put a hat on his head.  Should they also wrap him in a blanket?
Yes.

There are three mechanisms of heat loss (this applies generally, not just to the man in this example) radiation, conduction and convection. In most everyday cases radiation can be neglected so we just have conduction and convection.

Conduction is just the transfer of heat along a static object. For example if you hold the end of a metal bar in a flame pretty soon the heat will conduct along the bar and the end you're holding will get hot too. In this case if our man is surrounded by a region of still water he will lose heat by conduction into the water.

Convection is the transport of heat by a moving fluid. For example if you stand in still air on a winter day it may not feel too cold, but if a gale is blowing you'll start feeling cold very quickly. This happens because your body heats the air immediately around it then the wind whisks that warmer air away and replaces it with cold air.

Now back to your question. We can't do anything about conduction. The man is in the water and we can't change the thermal conductivity of the water. But we can do something about convection. Our man's body heat will soon heat the water immediately around him, and we don't want water currents carrying away that warm water and replacing it with cold water. Wrapping a blanket tightly around the man will trap a layer of water near his skin and prevent convection from cooling him.
