No never. This is what I use.
http://m.tractorsupply.com/en/store/farm-innovators-multi-use-utility-deicer-250-watt
It sits in the bottom of the bucket. Each bucket has the nipples on the bottom and they hang a few feet of the ground (depending on size of chickens).
I have never had them freeze.
I use these buckets with these Deicers in my brooder too, just smaller 1 gallon buckets. The chicks use them from day 1 and I never have to worry about nasty water... Or better yet, frostbite on wattles.

This is what I would worry about with using nipples in the winter. Even if it stayed liquid, it would freeze when it dripped out causing a lot of mess, wouldn't it?