Air molecules $(\require{mhchem}\ce{N2_}$ and $\ce{O_2})$ have an average speed of around $500\text{ m/s}$, varying some depending on the temperature. This means that a nice $5\text{ m/s}$ wind is a hundred times slower, and the energy represented by wind is 10,000 times smaller than the thermal energy. Therefore, wind does not have considerably more energy than calm air and will not burn you.
Very high-speed winds, such as those in tornadoes, hurricanes, or the wind you would experience while sky-diving, are still only around $50\text{ m/s}$, so the energy density in the wind is still just 1% of the thermal energy density. Likewise, the ram pressure the air exerts on you would be small compared to the homogenous atmospheric pressure, so no large effects should be observed. Thus, one would not expect even high winds to burn you.
The transfer of heat between you and the air is fairly complicated, and does not depend solely on the energy density of the air. Wind usually makes you feel colder, in fact. Heat travels across gradients of temperature. The air right next to your skin will be at the same temperature as your skin, but the air a small distance away will be at the ambient temperature. This creates a gradient of temperature, and heat travels across the gradient. When there is wind, the difference in temperature between your skin and the ambient air is the same, but the temperature falls down to the ambient temperature a shorter distance from your skin. This increases the temperature gradient, so that you cool down faster with a wind.
Humidity also plays a role; heat transfer is not very simple. However, I think this suffices to explain why we should not expect wind to burn you. You will burn up if you travel through the air at extremely-high velocity. This happens to meteors and other astronomical objects moving at orbital velocities ($\sim10^4\text{ m/s}$) when they enter Earth's atmosphere. It is also relevant for fast-moving aircraft, which do experience winds as fast as the thermal velocities of the molecules in the air. I've heard it said that the SR-71 Blackbird, the fastest airplane ever built, heated up so much due to aerodynamic heating that it had to be built to be loose at low speed so that the parts would fit together at top speed. See "Aerodynamic heating" for more.