How the skin loses the heat?

Evaporation When liquids change state to vapor they absorb heat, it's called "heat of vaporization". Put water on your arm then blow on it; it should feel colder when air is moving across the water. The evaporating water absorbs heat as it changes state, making the surface colder.

So... when you sweat, the surface of your skin gets colder and your body disspate heat by opening your circulation closer to the surface of the skin.