Oh no, another do you wrap your cake thread, lol.
Some people wrap their cakes straight out of the oven or after 10 min. of resting in the pan, others, like myself let them cool down first.
The theory behind wrapping them when warm is that the steam produces more moisture in your cake. It does do this and more. It also steams the cakes, continues to cook them and changes the texture to a more spongy, rubbery like texture. For some cakes, like the denser variety, this can be very good. But, for cakes, like the white wedding cakes, where you want a light, fluffy, crumb, you will loose this.
So experiment with your recipe, because the recipe does matter.
I get moist cakes without this process and if I think I need more moisture in them for whatever reason, then I use moistening syrups on the layers, maintaining the texture.