I fell head-first in a ten-euro helmet a couple of times, also felt nothing (with my head. I also fucked up my shoulder for about a year the first time, that shows what would have happened with my head). Just wear A helmet, it will make great difference!
I really don’t understand the gamble of riding with no helmet: if you lose, you’re a vegetable or dead, so I don’t even care if the chance of losing is low.