Playing with heat and cold in bed is fun.  Sleeping on a cold wet mattress after the ice melts isn't fun.  Getting wax out of the sheets isn't fun.  And taking a 10 minute break 
in media res to prepare the tools you need isn't fun.  Here's my solution, tested 
very successfully on Tuesday night.
Cold: "
Boo Boo Buddies Cold Pack"
I got this one at the local natural foods store; we have the cute little fishy.  Actually, we got it for my son.  About hand-sized, for easy manipulation during massage, so it is much easier to use than a standard ice pack.  Keep it in the freezer.
My wife found it to be too cold for direct skin contact, but it worked fine after wrapping it in a pair of silk underwear.
Heat:  the "
Amazing Hot Heart Massager"
Its available in many places online, and probably in stores; I got mine though blowfish.com.  It is liquid-filled, with a little metal disk in it.  Flex the disk, and a chemical reaction starts, crystalizing the liquid and raising the temperature to about 129°F, according to the specs.  It heats up in about 30 seconds, and holds temperature for about a half hour.  It's also hand-sized.  The really cool thing is that it is rechargeable; boil it for 10 minutes, and it is ready to go again!
She found the temperature great for massage, but a little too much to rest on her nipples. She loved it directly resting on her pussy.  
Throw in a simple 
sleep eye mask from Bed Bath and Beyond...
and you are good to go!  Work with the heat for a while, don't let your lover know that you have a cold pack as well until you are well underway.