He takes the Doctor's hand, offers a shadow of his Captain Jack 'reassuring smile', and decides not to remind the Time Lord that they're both him, this Jack and his darker self. He isn't going away, and if the Doctor can't deal with his dual nature, he doesn't know what he's going to do.
"You won't lose me, Doc," he says, almost jauntily.
Though I might lose you.
The grin cracks wider at the Doctor's concern over his hair colour. "Someday, you'll be ginger, but not today. All hail Romanadvoratrelundar!"