It's always a possibility of getting frost bite but there are some things you can do to prevent it. First off, make sure you have proper ventilation in the coop. That is key because too much moisture in the coop increases the risk of frost bite. Also, I put Eucerin on at night for the girls who have the single combs. Some people say this works, some don't, but it makes me feel better if I do. It supposedly prevents unwanted moisture from sticking to their combs. Some people use Vaseline. It does help the chickens for recovery though if they do get it.
I wouldn't lock them in a coop unless they are going to exposed to wind or other elements. Chickens can handle weather well as long as they have food and water. But at night, Lock the coop up. Except for that ventilation.
You can read more about frost bite here:
And this has been my ultimate guide to how to get winter ready:
Hope this helps!