>"Do NOT get wet and cold."

This is very true whether the source of the water is outside or inside your clothing.

Unfortunately, this warning is immediately preceded by the recommendation that you should use rain-gear in winter. A lot of rain gear is very lacking in breathability. If you go out and do something physical in raingear, you will likely wind up drenched in sweat. i.e. Wet. The moment you stop being physical, you will get cold. i.e. Cold and wet. This is a recipe for hypothermia.