Does humidity make cold air feel colder?

Various types of apparent temperature have been developed to combine air temperature and air humidity. For higher temperatures, there are quantitative scales, such as the heat index. For lower temperatures, a related interplay was identified only qualitatively; e.g., in a 2012 textbook:

High humidity and low temperatures cause the air to feel chilly

Or in The Columbia Electronic Encyclopedia

Cold air with high relative humidity "feels" colder than dry air of the same temperature because high humidity in cold weather increases the conduction of heat from the body.

Or in Popular Mechanics:

There has been controversy over why damp cold air feels colder than dry cold air. Some believe it is because when the humidity is high our skin and clothing become moist and are better conductors of heat, so there is more cooling by conduction.

A useful concept is thermal comfort, which considers many other factors, such as skin wetness and cloth friction. (I've started a section at Wikipedia).

Higher humidity means that their is a larger concentration of water in the air. Water has a higher specific heat compared to oxygen gas, thus it is able to more easily give off heat (or take it away in the case of something feeling cold).

An everyday example of this is how diving into a pool that's just above 0 degrees Celcius feels much much colder than being outside in 0 degrees. Similarly cold air with high humidity will reduce the temperature of our bodies faster than air with low humidity. And, hot air with high humidity will increase the temperature of our bodies faster than air with low humidity.

a lot of humidity means a lot of water vapors in air and water has a lot of thermal capacity(heat needed to raise 1'C of substance) compared to air.This means that surrounding air will take more heat to warm up and therefore will make you feel cooler.