You don’t lose more heat through your head. This myth gained popularity after the US Army held an experiment in the 1950s where they put soldiers in Arctic snowsuits, sent them out in the cold with no hats, and noted that they lost more body heat through their heads – the only bare part of their bodies. More recent research shows if the soldiers had worn nothing but swim trunks, they would have only lost about 10% of their heat through their heads. Source Source 2