Free Willy actor Madsen upset Denise Welch after branding her "emotionally disturbed" during the face-to-face nominations.
The Welsh rugby star advised him: "Everyone will be saying the same to Denise, just stay out of each other's grills.
"Before you know it you'll be up in one of those airplanes in the sky!"
Of his own feelings on his time in the house, Thomas added: "Even though it's been one of the craziest experiences of my life, I don't think I'd ever do it again."
Madsen, admitting he was tired of the show, added: "I'm going to need 24 hours just to get over it."
"People are breaking and crying tears over nominations," he went on. "I might cry because I miss someone but I'm not going to start crying about being evicted or being nominated."
Thomas, the only housemate not to face eviction tomorrow, is currently the bookmakers' favourite to win Celebrity Big Brother.
Celebrity Big Brother continues tonight at 9pm on Channel 5.