Hi Kay, Yes, they can get frostbite on their combs and wattles and I hear you about wanting to avoid pain for them, that's awesome that you care like that.
I was so worried in my first year too. They have electric heaters and I did the vaseline thing which backfired when the windchill got below zero, the combs with the vaseline froze solid and were much more badly damaged than those without. I also tried to keep them inside, which caused coopwide brawls so I finally gave up and let them decide if they needed to be in or out. That's worked so much better for me! I learned that they're smart enough not to freeze.
Most if not all of them have had frostbite on their combs, I'm guessing it hurt but they don't seem to mind. They certainly prefer being out.
When they get frostbit once they loose the very tips of their combs and don't seem to get it again. It hasn't caused any of them to stop eating or look ill.
When they first get frostbite the comb turns bright purple- you'll notice! After a few days it looks more like this:
The ends will scab up and fall off, but the nerves are already dead so it doesn't hurt.
You'll just have to wing it and see what works best for you. Just don't worry too much, chickens are much smarter and tougher than they get credit for!