You are correct - warm air carries more moisture than cold air - as the warm moist air comes into contact with the cold window the touching air becomes cold and can hold less moisture the result is condensation on the window.
"Surely this shouldn't be happening?"
Well ideally it shouldn't but you can't stop physics.
Keep the rooms a bit cooler
Ventilate during the day if you can
Fit curtains and close them in the evening
Keep kitchen and bathroom doors closed and their windows open just a bit to let the steam out
Consider a dehumidifier
If condensation does form, get into a routine of wiping it up else you'll get mould forming.
Peccavi
November 2009