Men should take great care to avoid this and should seek medical help if frostbite occurs anywhere.
Fun is fun, but this kind of activity does carry with it the very real possibility of frostbite or other damage.
However, for those for whom their exploration of kinky sex includes exposing the tool to the snowy weather, a bit of thought is called for to help minimize the damage to the member.
A better bet may be to snuggle in front of a roaring fire before exposing oneself to the cold.
This is a good idea whenever venturing into new sexual territory, of course.