We establish a new systematic methodology for controlling the water retention of polymer electrolyte membranes. Block copolymer membranes comprising hydrophilic phases with widths ranging from 2 to 5 nm become wetter as the temperature of the surrounding air is increased at constant relative humidity. The widths of the moist hydrophilic phases were measured by cryogenic electron microscopy experiments performed on humid membranes. Simple calculations suggest that capillary condensation is important at these length scales. The correlation between moisture content and proton conductivity of the membranes is demonstrated.