I agree that a quiet "thank you" is normally a good move. I made sure to put my arms around him as well and I openly accepted his warmth. I believe he understood that he was doing a "good" thing. He was more tender toward me for the rest of the evening.
My H has a problem with my saying much of anything anymore, he is so easily set off. I think he expects me to be silent and stoic and basically leave him out of this mess.
But I do say "thank you" as often as possible, and will do so in the future.