Today's web security warnings often rely on visual cues such as colour, e.g., red URL highlighting indicates a security risk. However, such cues often go unnoticed by users and, even when noticed, are ignored. Our aim is to investigate the potential for using other modalities to improve comprehension of, and adherence to, security warnings, starting with thermal feedback. Thermal stimulation has inherent links to emotion and danger, so may provide unique advantages over current visual cues. However, interpretation of feedback varies, so research is needed to measure associations. We used an online questionnaire (n=45) and lab study (n=12) to investigate whether people associate a particular temperature range with different states of web security. Our results indicate that people generally associate a cold temperature with a secure page and warm with an insecure page, findings we will take forward into future work on the effect of thermal feedback on securityrelated behaviour.