You want to ease into it with an ice cube. It's cold, see. A lot of cold all at once isn't sexy, it's shocking. Like jumping into cold water all at once. Not sexy. We guys aren't much into subtlety with these things, but exercise some restraint, or it'll be the first an last time you play with ice. Which would be a shame, cause it's fun stuff.
Start by holding her from behind and just barely grazing a corner of it against her shoulders and her arms and her belly. Don't move from those spots until she's tensed up. She'll be experiencing the cold, and thinking of where she wants it next. You want to move slower than her mind, keep her guessing and thinking ahead. Once she's gotten sort of used to the cold in the areas you started with, try running it slowly up and down her spine once. That should get a full-body shiver out of her. Then start running it in slow, gentle circles around her breasts. DO NOT go straight for the nipples. Let the nipples come to you. I'll leave you to your own imagination about what next. Just remember to go slow! Slower than that! Go 1/4 the speed you think you should!
Another great thing is to chase the ice cube across her skin with your mouth. The interplay of cold and warm is delicious.
Edit: Can't believe I forgot to say this... It should be plenty warm in the room when you do this. Hypothermia isn't sexy either.