He gives a startled little yip, but then goes limp, letting his rescuer do her thing. She is... surprisingly warm, indeed, especially with the rising chill wind. He can't quite cling, he doesn't have thumbs and he'd rather not try to use his teeth to hold on lest he hurt her, but he does try to spread his fire around as much of her torso as he can. It keeps small objects from hitting her where it's flickering, at least!

The fire isn't hot. It is, if anything, a bit cold.