Most thermal interfaces attach Peltier elements and their required cooling systems (heatsinks and fans) directly to the palm or sole, preventing users from grasping or walking. To solve this problem, we present ThermalGrasp, an engineering approach for wearable thermal interfaces that enables users to grab and walk on real objects with minimal obstruction. Our approach moves the thermal device and cooling unit to areas not used in grasping or walking (e.g., dorsal hand/foot). We then use thin, compliant materials to conduct heat to/from the palm or sole. Unlike traditional Peltiers with heatsinks, our thin materials enable grasping and walking on real objects while enjoying thermal feedback. Using our approach, a user can, for example, grasp a passive prop (e.g., a stick that acts as a torch in VR), yet feel its thermal state (e.g., hot due to its flame). In our user studies, ThermalGrasp struck a useful balance between thermal and haptic realism. We believe that ThermalGrasp is a first step towards not forcing users to choose between either feeling thermal feedback or being able to engage with grasping/walking in interactive experiences.