The problem:

• we lose body moisture with each breath we take in the cold, dry air
• our skin loses more humidity in dry air
• our body extracts more urine in cold weather, causing further dehydration

The consequence:
Becoming dehydrated has at least two important effects when dealing with cold weather.

• it will make it more difficult to circulate heat: Hydration impacts our blood volume. Being dehydrated lowers our blood volume and our capacity to circulate heat throughout the body. As an example think in terms of an engine's cooling system. You want to circulate a low viscosity coolant that will allow for both effective cooling and effective engine heat up. You don't want a thick, gelly-like sludge as a coolant liquid. Same with our body.
• De-hydration also impacts our body's ability to digest food and produce heat.

Note:

• Cold drinks will take more heat away from our body than hot drinks will add. Avoid them when possible.
• Limit cafeine intake. Not only does it act as a diuretic (increases urine production = increases dehydration), it also impacts on our body's circulation, decreasing our ability to maintain heat.