This is a measure of the amount of copper filled in the space allotted to it. Referring to the figure below, for example in a round conductor there is always some space that will remain unutilized (empty), plus there is some space that will be lost in terminations. The winding factor accounts for this reduction in used copper space.
Figure above shows the unfilled spaces for each turn for all windings in a transformer. Winding factor compensates for these spaces.