How exactly does your average skin moisturizer work? Not the fancy expensive anti-aging stuff, no SPF or exfoliant, but just plain moisturizer.
Does it physically or chemically soak into the cell itself? Does it settle in between the cells? Or is it really just adding a film on top and then evaporating?
Mostly by leaving a thin film of oil on top that slows down evaporation of water from your skin. They also have some water in them that they hold to the skin via the oils sealing them in.
Some also contain some hygroscopic stuff (glycerin being one of the more common) that attract water from the air to glom on to your skin. (“Humectant” is another word for this, more often used in cosmetics than hygroscopic, but I like hygroscopic better.)
But no, they do not penetrate the skin layers or work their way into the skin cells, despite what the marketing would have you believe. A) the molecules in moisturizer are too big - particles bigger than 40nm can’t fit through the skin’s outermost layer, called the stratum corneum and B) the top dozen or so layers of cells are dead anyhow.
Wow.
For consumer oriented moisturizers, I would agree with this since most contain oil which are large molecules as I recall. However, pure glycerin and propylene glycol are small molecules and are easily absorbed by the skin. Also, they don’t appreciably evaporate so they are long lasting.
As for the outer skins cells being dead, that doesn’t keep them from being moisturized (or perhaps hydrated is a better term). It’s obvious when you trim your nails; they are hard and brittle when dry, but quite soft after a shower. The problem with water is that it evaporates pretty quickly. Propylene Glycol on the other hand hardly evaporates at all. I began using straight propylene glycol on my face a couple of times a week just recently which has worked great for me. Out of curiosity I decided to give it a try on my hair (full strength.) It was absorbed so well that it made my hair look damp even after it was dry. You might even say it looked kind of looked greasy, but it did not feel greasy at all. Now after four showers my hair is finally looking more like I’m used to but it’s still quite soft and silky feeling. As Kelly LeBrock put it in the Pantene commercial: “Don’t hate me because I’m beautiful”. 
I think the reason it doesn’t last as long on skin as hair is that it is eventually absorbed into the normal metabolic pathways by the living skin cells. (It ends up as lactic acid.) Your hair isn’t going to metabolize anything.
There’s only a few reasons to use a moisturizer.
to hide flaking dead skin… (eg due to sunburn or too much washing…some sort of chemical burn process "Drying skin out "… or not washing enough… if the last one ,why not just wash it ?)
To improve the grip on your hands .
To soften up dried out or injured skin … sometimes the back of your finger may dry out too much and start to tear ? I did that once when I was in the cold and not used to it.
I once delivered a commercial food mixer to a large private house in leafy Surrey. I parked on the gravel drive, and the maid (yeah!) sent me round the back to a large wooden shed. Inside there was an old guy in a white coat. The place was spotless.
After we lugged the mixer (it weighed in at around 100Kg) into the shed, he made me and the guy who helped, a cup of tea. He explained, when I asked, that he made face cream. He showed me the pots and explained that they were by far the most expensive ingredient. He sold them mail order (this was pre internet) (I think) for about £3 (maybe £30 now) and the contents cost only a few pennies. He was a retired chemist and started it up as a hobby - now he was making more than he had when he worked.
I have read (on beauty blogs, so no good cite) that humectants should not be used in conditions of low humidity. They can’t/won’t attract water from the air if there isn’t much - they will instead attract water from the nearest available surface, which is your skin.