I just saved one sim from Grim after she collapsed from freezing. She was on the street in front of my sim's house and my sim convinced her to group up. It would take too long to walk back to my sim...
Maybe this little mod over at "Mod The Sims" is helpful? It's called "No Temperature Deaths" and should help stop loosing your sims due to extreme temapratures until there is a patch out. Since I'm not allowed to post links you'll have to search it by yourself.