General Winter Camping First Aid; Various Stages of Frostbite.
If you have frostnip (when the skin on the affected area is white and waxy, the very first level of frostbite), you'll want to put on dry clothes and gently warm the area. Do not rub the area. Ice crystals are forming in your skin, if you rub it, it could kill your cells. While your skin is warming, it will probably feel hot. This is your body warming it up. At this point in time, it will probably swell, and it is a good idea to run lukewarm water over the skin until it begins to feel cold and the swelling recedes. Dry off immediately and put on warm clothes, and take a small break.
This happened to me once, my toes were the size of sausages and the skin was pulled tight, and I had to put them in a shower for twenty minutes. Afterwards my toes felt much better.
Frostbite; the skin takes a blue tinge and feels hard and rubbery. Your skin is frozen, all of the skin, down to the deepest layer. Seek medical attention. Run cool water over it until help arrives or ski regains pinkish color. This will hurt. I've never had frostbite, I can't go into detail about how it feels, but it does hurt. Places to look out for for frostbite; cheekbones, the tip of your nose, your ears, your fingers, your toes, and the backs of your hands.
Severe frostbite: The skin is black, and the limb feels 'wooden' all the way through. Black skin and or limbs are dead, and will have to be removed once the hope of recovery is gone. Get to a warm place, and then get help. Don't even try to warm it yourself, you will fail and lose a limb. Sorry. (This will hurt more, they might have to put you out depending on your pain tolerance.)