This invention is a novel scheme (devices and methods) for applying thermal therapy to various therapy sites on a mammalian body including a thermal pad (18) for applying thermal therapy to a therapy site; a retainer (21) integrally receiving the thermal pad (18) to form a single unit; and retaining the thermal pad (18) against the therapy site with compressive force to hold the thermal pad in place in uniform thermal contact with the therapy site. The therapy device has a surface conforming to the shape of the therapy site when the thermal therapy device is held against the therapy site. Other thermal therapy devices and various methods for applying thermal therapy, are disclosed.