"The bones help," said Melisandre. "The bones remember. The strongest glamors are built of such things. A dead man's boots, a hank of hair, a bag of fingerbones. With whispered words and prayer, a man's shadow can be drawn forth from such and draped about another like a cloak. The wearer's essence does not change, only his seeming."
Assuming she was able to procure Davos' lucky bag between the Battle of Blackwater and Stannis' attack at the Wall, Melisandre may have already cast that glamor. However, something else stood out to me on a reread of A Storm of Swords, in Davos III, where Davos is lying sick in his cell:
Dimly he remembered gentle hands and a firm voice, and young Maester Pylos looking down on him. He was given hot garlic broth to rink, and milk of the poppy to take away his aches and shivers. The poppy made him sleep and while he slept they leeched him to drain off the bad blood. Or so he surmised, by the leech marks on his arms when he woke.
We know from Arya's time with Roose Bolton at the very least, that leech therapy was uncommon. However, Roose was awake for his leeching. The other time we see a leeching done on Dragonstone is with Edric Storm, and lo and behold who was the "leecher" for that:
"The boy is sick. Maester Pylos has been leeching him."
We have evidence that Pylos is working with Melisandre, to bring her blood! Davos' blood cannot be considered "kings blood," so why would she want it? It seems reasonable that she will use it for a powerful Davos glamor. Perhaps she extracted his blood for this purpose because she hadn't gotten the bag of fingerbones yet.
The question is not whether Melisandre has planned to use a Davos glamor; there is sufficient evidence that she has planned this since at least Dragonstone. The question is whether she has done so already, or whether she will do so in the future. My prediction is that Jon Snow will be glamored to get him out of Castle Black, but that is neither here nor there. There will be a Davos glamor showing his face, though, and that is worth thinking about.