I thought air would be trapped better if the cloth was air tight! which one do you think is more air tight a dry cloth or a wet one ? Moreover, with dry cloth air might go in and out thereby having the contribution from convection!
If you go out would you prefer to be in dry clothes or wet clothes? This is a first hand experience that dry clothes are better at keeping you warm
Scuba divers in cold water use dry suits, because this way they loose heat much slower. Same reasoning.
Bottom line here is that air has much lower heat capacity per volume, thus it isolates much better. Removing air gives even better isolation - see Dewar flask.
In practice water always penetrates fabric, thus it won't isolate and make it air tight, it will make the cloth wet and less isolating. Dry suits used by scuba divers are close to your idea (isolated air tight fabric) but they don't allow direct contact of cloth with water, and for a good reason.