Ulthera or Thermage help reduce facial volume? I'm 35 with very full face, would like to reduce the volume in the lower cheeks.

Neither Ultherapy or Thermage is designed to reduce facial fat. Sometimes what appears as fat reduction has more to do with tightening and lifting. If done with precision, liposuction is sometimes a good option for facial fat, though it would not be used for further buccal fat reduction.

You are wise to be concerned about nerve damage. Our facial expressions make us "us" and risking permanent distortion is a high risk indeed.There is no technology that will melt fat on the face so Ulthera or Thermage won't accomplish that goal.Not seeing a photo of your face, it's hard to tell what might be a good option. But consider a couple of examples:
Early volume loss or genetics could give you a facial shape that is more narrow in the temple area...thus calling attention to the lower face.Many women lose volume in the temple area and that tends to then make the lower face appear heavier. If your situation is a comparative volume loss or volume deficiency, then the areas "lacking" could be brought to higher volume levels with Sculptra or a hyaluronic gel.Another possibility is the enlargement of the masseter muscle which can make the lower cheek and jaw area appear square and larger. This particular problem is frequently treated with Botox to prevent the action that causes the enlargement (typically clenching the jaw or teeth grinding). Over a period of time that muscle returns to its normal size and shape because it is prevented from being "over worked".

Ultherapy is not meant to "melt" facial fat away. It is used to lift and tighten areas of the face, not reduce fat.