Well, as someone who comes from a cold climate, I know tons of people who would wear relatively light clothing in winter, but then put on a hat, because "40% of heat loss is through the head", and as long as they keep their head warm, the rest of the body will be fine. So yes...for those who are already dressed up warmly, putting on a hat will make a difference (particularly in keeping the ears warm). But for those who don't, plopping a hat on top of the head isn't going to magically keep them warm.
Personally, I've found that as long as I keep my feet, hands, and ears warm (thick socks, warm gloves, and a hat), I don't feel cold at all (and I'm one of those who doesn't wear very heavy clothes during the winter). Its got nothing to do with "keeping the heat in"...its the simple fact that those are the parts of my body that get cold the easiest. If they feel cold, I feel cold. If they feel warm, I feel warm.