This myth comes from a military study that was conducted many years ago. Army generals discovered loss of temperature in soldiers when exposed to very cold temperatures. Furthermore, they found rapid heat loss in the head – and so the idea that we lose heat through our heads was born. This was spread and now most people believe it.
What they forgot to tell the world was that the experiment was biased. The soldiers who had been exposed to the low temperatures were fully clothed apart from their heads! If this piece of information had been given as well, maybe it wouldn't be a common belief.
The real truth is that when a human is completely naked, 10% of body heat will be lost through the head, and the other 90% will be lost via other parts of your body. Experiments conducted have shown that if your head is covered you do feel warmer, but there have been no specific investigations as of yet.
Once again, do not ignore this completely. If you are going to subject yourself to low temperatures, make sure you wrap up to avoid hypothermia!