Doing a little historic check, I learned that the expression may have had its origins in the State of Ceará, here in Brazil, probably in the 19th century. Back in those days, foot races for kids were very common and, one day, someone discovered that, if they applied tallow to the shins of the children, it made them run faster. That's because mutton tallow in the skin makes it get warmer and warmer, almost giving a sensation of burning. However, when in contact with the wind, the bad sensation on the skin quickly disappears. So, the more you run, the more strong wind you get in your skin, and the relief is bigger if you run really fast. When the children got to the finish line, the tallow was taken off with the help of gum with cachaça, which is also very good to alleviate sun burns, even those that cause blisters.