This is definitely something the Peruvians seem to understand better than many of us Expats. Probably taught to them as children.
Like you Musiclover, I come from a far colder climate than I find here, but with no where near the humidity. My wife is red hot about me being dressed sufficiently and keeping warm, especially around the chest and throat area and goes off the deep end if I drink anything cold, especially if I have the smallest sign of a cough or nasal congestion. I admit, most times she is probably right and when I do drink anything cold, I invariably cough a couple of minutes later. She is even reluctant to drink bottled water at room temperature and adds a bit of warm boiled water to it.
Unfortunately, as an avid walker and at a fairly brisk pace, I always finish up with about two t shirts and a polo shirt on to please her (and a jumper or jacket if she has her way, so I do most of my walking while she is at work) then I am drenched in sweat by the time I walk a kilometre or two, which of course becomes another problem, when I get back home.
It probably doesn't help to have been brought up on any drink that is not hot, is automatically preferred to have been refrigerated. ie. fruit juice, beer, white wine etc. with red wine being one of the exceptions of course.
As my only experiences in high humidity has also only been at times of high temperatures, for example Northern Australia's tropical zones and Colombia, both areas with high humidity in conjunction with high temperatures, my only conclusion is that the problem we face has something specific to do with low temperatures and high humidity for which we have not been prepared for. Unfortunately, my wife has difficulty in converting any reason to English and just expects me (well, makes me really) to do as I am told.
Maybe there is someone out there who can explain what makes the difference here, or is it something to do with the continual sea mist/fog/pollution we find here in Lima.
As a footnote to this, she went to her first Hash House Harrier walk yesterday, with a bit of a flu. The drinking stations only supply cold beer, cold coke and more cold beer. The christening for first timers also requires downing a cold beer and christening the top of your head with the last mouthful. Without going into too much detail, she is bedridden today with the flu and with a terrible cough. I told her she should have known better, but she could not see the funny side of that remark.