Methods and devices are disclosed herein that generally involve applying thermal therapy to tissue (e.g., localized cooling or heating of tissue). In some embodiments, tissue can be cooled or heated by implanting a malleable or deformable thermal device in proximity to the targeted tissue. The thermal device can be left in place following surgery to facilitate application of post-surgical thermal therapy. In some embodiments, the thermal device can be removed post-surgery in a minimally- or non-invasive manner. The thermal device can be connectionless or can include penetrable regions, pre-attached tubing, or detachable connectors to facilitate application of cooling or heating means to the device. Methods are disclosed for utilizing thermal devices and for carrying out various treatment regimens that involve cooling or heating tissue using such devices.