They don't actually care that much about getting dry, as they're going to the City of Tears quite soon anyway. This is for...comfort.

That's really the whole idea when they get down to it. For them, this feels pleasant. For Lemm, perhaps it simply feels pleasant too, or perhaps it feels like a contribution in return. They're not going to disrupt this with questions.

Once it's finished, they sit right down with the cloak still over their head. (A pun could be made about bedsheet ghosts, if those were something they had awareness of.)