It sounds like you are likely correct in your diagnosis of why your skin is so dry, as Tennessee is much drier than the harsh, cold weather of Montana. Another question to ask would be if you are working outside in the elements at all, or if the parts of your skin that are drying out are specifically the parts that are exposed most often. If so, wearing appropriate clothing and skin covering will help to retain moisture and protect your skin as your body attempts to adjust.
Now, what to do about treating the condition. In general, over the counter lotions and creams are the best place to start. The rule of thumb is that the thickest creams will provide the most protection for dry skin, and that thinner lotions will be less oily but not work as well. Other things that you can do is to avoid taking showers in extremely hot water, and apply the creams and lotions immediately after leaving the shower, so as to trap the moisture in. Finally, you can attempt to sleep with a humidifier in your room at night, as this can help your skin to recover somewhat. If all else fails, please see a dermatologist
or your family doctor
for more personal advice.