Holmes is shivering too, and he tightens his hold on Watson momentarily to try and brace himself, to keep himself from shaking, but it isn't entirely successful. The insanity has indeed served its purpose, and he starts moving them toward shore.

"We most certainly should, before we are found like this and we leave people to wonder." He grins through the shivering and manages a chuckle. "We wouldn't want to destroy their lofty ideas about us."

Once out of the water, he disentangles himself from Watson to try and pull his small clothes on quickly; it is unfortunate he didn't wear a jacket, as at least it may have served as a towel.