I don't think any skin layer should feel cold and heavy to their touch. I think this whole wicking business is highly over-played. All good insulation layers needs to do that anyway. The primary function of a skin layer is that it is just another layer of insulation, wool or polyester or whatever, that is thin enough to fit under your main layer or over layers. It should of course breathe and dry itself out as you wear it like all your other layers, if they are any good. Its just another layer, but thinner, and closer fitting, but mostly just so that it still fit while still doing some good. It shouldn't matter which layers you wear when you don't need to wear them all.