Some people have never gotten an ice cream headache. They tend to be entirely surrounded by people who have, and who are willing to offer theories as to why they aren't forced to undergo the agony of others. Maybe they eat too slowly, or maybe they eat too little. Or maybe, just maybe, if they were put out in the arctic wearing nothing but their underwear, they'd freeze to death first.
Blood is running constantly around the body, supplying it with oxygen and nutrients. Its voyages take it from the tips of the fingers to the inner organs. The inside of the body is nice and toasty, but the outer parts get cold on a frosty day. Blood rushing through the extremities cools down, and when it comes back to the body, it cools the rest of the system. The body has negotiate a way to keep blood flowing to the fingers, toes, and nose, while protecting itself.
When the temperature starts to drop, the body constricts the blood vessels in the outer regions, so hands feel cool and faces start to pale. Later on, the body switches off between constricting and widening blood vessels. This allows blood to rush into the extremities, keeping them from freezing or dying off due to lack of supplies, and causes the red cheeks and noses that often mark a long stay in cold weather. When the temperature drops low enough, the body once again shrinks down the blood vessels, abandoning them to keep the rest of the body warm. It's then that the body starts to lose limbs to frostbite, but it serves a purpose. Suddenly warming the extremities causes the body to widen the blood vessels again. Blood pumps through quickly and chills, and then rushes back towards the body, cooling it even further. That's why people who have been hypothermic, or who have prolonged exposure to cold conditions, need to warm up slowly.
Ice cream headaches don't usually happen in cold weather, but they are bound up with the body's response to it. When people eat ice cream, it chills the area around the head, and the blood vessels constrict. This constriction is painful - it's the same thing that causes intense and debilitating migraines.
But an cream headache isn't cause for extreme concern. It doesn't do damage and lasts only a few minutes. Still, people don't like discomfort with their desserts, and they've found a few ways to avoid it. One is to, yes, eat more slowly. Since the part of the head near the brain is sending out distress signals, it also helps not to hold the melting ice cream against the roof of the mouth, and to take sips of warm water between bites. Not directly therapeutic, but possibly mentally helpful, is to think about everyone who can chomp away at their cones without pain freezing to death in Antarctica.