This paper presents our preliminary exploration of providing dynamic thermal haptic feedback on the face. We have designed a thermal feedback prototype that integrates Peltier modules directly with a head mounted display which is able to provide thermal output directly on users' faces. We explored the possibility of providing dynamic thermal feedback which could present information and enhance user experience through designing four initial dynamic thermal patterns of our prototype. We also conducted a preliminary user experiment and analysis of the design of different patterns ("dynamic information") to evaluate the design on three aspects, the accuracy of recognition of dynamic stimuli, smoothness of the movement and comfort level. Our results indicate that the accuracy of recognition of dynamic stimuli was approximately 71.84%.