It’s fairly common advice for first aid when someone is suffering from hypothermia, not just when they are wet. I think the theory is that you want the person in direct contact with the heat source (the other person’s skin) with an outer layer wrapped around you both to keep heat in.
See: http://www.disability.vic.gov.au/dsonline/dsarticles.nsf/pages/Hypothermia?OpenDocument
for one example.
Not sure it is recommended as a preventative measure.