It's for flexibility, also helps make the string larger than straight steel. Bigger string, bigger sound.

I suspect your strings are round wound, you could try flat wound strings which are more of a jazz sytle string but a bit slicker on the fingers.

>Why do the lower gauge steel guitar stings need to be wound? Is it for flexibility? I'm playing more lately and the winding on the strings is tearing up my fingers. I know, once the blisters are gone I'll get my calluses back, but it got me wondering why they couldn't all just be straight gauge steel.