Glycerin is a humectant: it draws moisture from its environment and holds it in (fwiw honey does the same thing, on a smaller scale). When you rub glycerin onto your skin it will do two things: provide a protective barrier between your skin and the environment, and draw moisture from the air around you and deliver it to your skin. It's a wonderful thing to have on hand (ha hahah, very punny!) during the winter months.
This property of being a humectant is why vaping gives newbies a sore throat: the glycerin vapor draws moisture away from your throat tissue. Drinking water will help counteract that. This quality is also why vaping isn't recommended for anyone with lung disorders.
Brought to you buy your friendly former soap maker, a cottage industry that also relies heavily on glycerin.