I ALWAYS ride with helmet, never felt uncomfortable with it and never cold (we can have -20°C). 10 years ago, it was only a bunch of snowboarders waring helmets here, now its 99% of skiers and I havn't seen one on a board without in this year.
After an out of control skier hit me in the back with a ski edge, I even began to wear a back protector if I'm riding without backpack (with integrated protector).
I'm quite happy to have a working brain and back. Somehow it happens to be that I only like sports where you risk them
but I at least can try to protect them.