Windmills move air around, they don't make it warmer.
A recent study showed that overnight ground temperatures near windmills were a little higher (0.72 C in winter) than otherwise. This phenomenon is well known by orchardists who sometimes prevent frosts by hiring helicopters to hover over their trees and keep the air moving.
The study found that daytime temperatures were not affected. So it appears that the windmills are just moving air around, like a kid moving coins from one money box to another.
This picture shows clouds formed
|Source: Aeolus on the Guardian|
Scott Mandia used the banking analogy when he debunked the claim (in comments) that windmills cause global warming.