25362 is right. Even at 100% relative humidity, the amount of water vapor in air is very small, and has only a tiny effect on the material properties of air.
But assuming you still care about that small effect, water vapor is LESS DENSE than dry air, so humid air is less dense than dry air. Convective heat transfer coefficients are proportional to the density, so heat transfer actually goes down a little bit in humid air
This seems the opposite of our intuition. In high humidity, the air feels "heavy" to us, because we can't lose heat by sweating. But to an object that doesn't sweat, the humidity doesn't matter very much.