When one's cheeks are red or pinkish from being out in the freezing cold, they are frosy.
Important Note: When one's cheeks are red or pinkish from other causes besides the freezing cold (physical exertion, embarrassment, youth, etc.), they cannot be said to be 'frosy' but merely rosy.
Oh, it must be very cold outside: your cheeks are nice and frosy!
Watching the game out in the cold made my cheeks all frosy.