Neat, they actually kind of did the huddling together thing correctly maybe? I'm pretty sure the "take it all off" part of things is way more situational than stories usually make it seem. Like, if the clothes were soaking wet and you do have some sort of shelter for the wind and all that, then they might do more harm than good and cool you off rather than help you warm up since your body heat also has to try and dry the things. At that point, sure you should take the wet stuff off. But you'll still wanna wrap both (or everyone, maybe there's more than two) in whatever you can that's still dry for insulation.
Don't want tons of heat escaping into thin air. Really wanna be wrapped up in something or other at the least, even if using the skin to skin contact to keep warm. I swear, some stories just stick two naked people in a cave somewhere, maybe on top of but not wrapped in or under any of their clothes or blankets or whatever. Lot's of cold air pressing in on them from every direction other than their contact points.