Nope! Just mark them and stick them under at night. Best to let the chicken's own body heat warm them up after you stick em under.
The purpose of doing it at night is the hen won't move (because it can't see) until morning, by which time the eggs will be warm and the broodieness will set in more effectively than if you did it during the day and just presented a bunch of cold unfamiliar eggs to the hen. Because you're right - they don't wanna set on strange, cold eggs much. But if they have the whole night to warm them up and get cozy on them then it matters not a bit.
So just keep the light levels VERY low while you do it, and it should be fine. No need to risk cooking part of the egg under a heat lamp or something.