You are correct, The number of water molecules in the air will not decrease and may in fact increase as the air is warmed up. What gets less is the Relative Humidity.
Relative humidity is a measure that indicates the ability of the air to absorb moisture. If the RH is 100% then the air is saturated with water and it doesn't matter how much you flap around those damp teatowels, they still won't dry. The warmer the air becomes, the more moisture it can hold, so the air that may have been saturated at 10�C (100%RH) will be less than saturated at 20�C. Other objects in the room will start to dry out as water molecules evaporate into the air.
The effect of this on the human body (which is over 60% water) is to dry it out, particularly the skin and nasal passages. Some people are more sensitive than others. Hanging a small trough of water near the radiator allows water to evaporate and raise the RH of the room air so that it has less effect on the human body and provides a more comfortable environment.
A further effect of water evaporating from the skin is to cool the body so you will feel warmer in a room at 20�C with 98% relative humidity, than in the same room at 20�C with only 50% RH.