[He did warn her. But he also know she wouldn't be deterred by that. The cold around him didn't even register completely with Natsu though. which is even more worrying about his state of mind. He tried to keep his hand over his cheek at first but Lucy succeeded in pulling it away before she made use of her sash. He hisses again feeling the cloth over the open gash but other than that manages to endure it to the best of his ability.]

Yeah it stings pretty good.

[But that's not the depth of what's stolen the warmth from his body.]