I know that wind chill essentially works by 'wicking' more heat away from a substance, making it 'feel' cooler, but then why doesn't wind chill affect thermometers? Wouldn't the wind 'wick' heat away from the thermometer, making the thermometer's readings go down because of the reduction of heat? Any support is appreciated.
The thermometer has no internal source of heat to be "wicked" away - so once it has reached the temperature of the surroundings there is no chilling effect.
If the thermometer is wet then the increased evaporation by the wind can cool it below ambient temperature, and the difference between the temperature of wet and dry thermometers can be used to measure humidity
Wind chill is a property of wet things like sponges and you and me: when the wind blows upon us, it abducts some moisture in gaseous form with it, but in order to steal that moisture it must necessarily evaporate it, and that energy for evaporation in general comes from the surrounding liquid.
So, wind chill is basically how one cools a spoonful of soup by blowing on it, if that helps -- and when the wind chill is bearing upon us, then we are the spoonful of soup. The effect is worse if, say, you go out into the wind with wet hair from a shower or if you are coming out of a pond, which is why we try to stay dry on cold, windy days. Correspondingly, the effect is much less if you can put a windbreaker of some form between your moist skin and the wind blowing on you -- even if that jacket is not thick enough to retain a big layer of air and keep you warm, it can still feel much less like the wind is sapping away your heat.
Thermometers are usually dry and would need to be encased in some sort of moistened sponge to truly reflect wind chill in general. We typically don't do that, so there is no water to evaporate, so we get the true temperature.