We report small-angle neutron scattering studies of the lacunar spinel GaV$_4$S$_8$, which reveal the long-wavelength magnetic states to be cycloidally modulated. This provides direct support for the formation of Neel-type skyrmions recently claimed to exist in this compound. In striking contrast with all other bulk skyrmion host materials, upon cooling the modulated magnetic states transform into a ferromagnetic state. These results indicate all of the modulated states in GaV$_4$S$_8$, including the skyrmion state, gain their stability from thermal fluctuations, while at lower temperature the ferromagnetic state emerges in accord with the strong easy-axis magnetic anisotropy. In the vicinity of the transition between the ferromagnetic and modulated states, both a phase coexistence and a soliton-like state are also evidenced by our study.
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