This paper presents a new approach to implement wearable haptic devices using Shape Memory Alloy (SMA) wires. The proposed concept allows building silent, soft, flexible and lightweight wearable devices, capable of producing the sense of pressure on the skin without any bulky mechanical actuators. We explore possible design considerations and applications for such devices, present user studies proving the feasibility of delivering meaningful information and use nonlinear autoregressive neural networks to compensate for SMA inherent drawbacks, such as delayed onset, enabling us to characterize and predict the physical behavior of the device.