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So, the little trees won't freeze?
Nope, soil insulates the roots. Actually, if evergreens like temperate pines aren't exposed to a period of cold for hibernation, they will die. They can't live in a warm climate with no cool off. This is why 'bonsai' sold in stores, usually a little fir twig in a tiny pot, die very quickly, because they are almost exclusively kept indoors by the owners.
Not all evergreens need cold weather.
If that were the case, there wouldn't be any evergreens native to the Arizona desert, and there ARE. Potted plants do not have sufficient soil around them to provide enough insulation from a severely cold winter. A tree planted in the ground with plenty of time to acclimate to the weather, AND that is suited to the climate should do fine, though.
First, is the variety of the tree suited to your climate? If so, the tree should have been planted months ago to spread its roots during warm weather. Probably too late this year. Bring the tree inside when it gets down to freezing, and keep inside in the coolest place where it will get light.