I agree with Nanours that the former sounds better than the former BUT you need commas. Do not forget punctuation in a language!
Hence it becomes "Le vent collait, contre ses jambes, une jupe mouillée."
No space, comma, space in French like in English, it is easy.
It sounds prettier because the main complement "une jupe mouillée" is placed at the end of the sentence, but then you need the commas to insert the "complement of location" (I have no idea of how to translate this grammar notion in English).
The other way, as the order of the complements is the classical one, you do not need the commas: "Le vent collait une jupe mouillée contre ses jambes."