When I was a child and just beginning to learn about the weather, I remember observing that a south wind usually brought warmer air and a north wind usually felt colder, but I was confused about the process. I thought the south wind, itself, was actually a warming wind whereas a north wind was a cooling wind.
I did not yet understand the concept, first stated by Anaximander in 580 B.C., that wind is nothing other than moving air. The concept of air as a fluid of countless molecules had not yet been taught to me.
If a south wind is warm, it is because it is blowing in warmer air from warmer places, not because the south wind, itself, is inherently warmer. For example, if the temperature is 5 below zero and the wind is 10 mph, the wind chill is 22 below zero, no matter which direction the wind is blowing.