If you are in urgent need of cooling down (like in, "either I get some heat out of my system or I'll pass out right *now*"), hold the ice to your jugular. A soda can from the fridge works wonders, too. If both is unavailable, slap on a wet towel.
Don't keep it there for long, though. As soon as the immediate "melting!" emergency is over, transfer the cooling to your wrists. Too much cooling of the jugular too fast, and you'll get into the other (cardiac) sort of trouble.