RG
The cold wet clothes will transfer heat away faster than even much colder air. So remove the wet clothes. Besides the clothes would probably freeze and become very difficult to move in while still taking heat out of your body.
Hopefully there are others in your party that can offer dry clothes to at least keep the wind off until you can get into a warm place.
Also, very hopefully you are with loved ones, as the fastest way to warm up is skin to skin under covers.
The brains immediate reaction, is to have all muscles contract having your body assume the fetal position. Takes effort to straighten your arms and legs. Reports I have read, stated that you have about 3-4 minutes to get out of 32 degree water or else.