When water evaporates from our sweaty skin and wet clothes, heat is transferred from our bodies into the atmosphere. This is why proper layering in the outdoors is very important. Sweat soaked/wet clothes can lead to massive heat loss, even when worn with other dry layers.
Think of convection as body heat lost by cool air movement, like the wind. Similar to blowing on hot soup to cool it down. As the air moves over your body, it carries away heat. In fact, convection is wind chill! Wearing a wind layer or hardshell jacket cuts down on heat loss by convection.
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Conduction is heat transfer from one mass to another. When you lay on the cold ground or snow, body heat is quickly lost. Sleeping pads or other insulation between the body and ground is very important when treating someone in the wilderness. Body heat lost by conduction occurs even more rapidly in cold water.
As our bodies burn energy, heat is given off as a by-product. This heat radiates into the outside environment. Down jackets work by trapping our radiating body heat in the tiny air pockets created by the down feathers. A major amount of heat is lost via radiation from the head. Warm hats and beanie caps are essential for heat retention.