If your cotton bolls are near ripening a light frost won't hurt them, but if they are still really green the seeds probably won't continue to develop, even when the weather moderates. I have never tried ripening them inside, so I don't know how well that works for cotton. Maybe?
My rule of thumb has been if a boll looks like it is trying to split, even a tiny crack in one segment, the seeds will be fine, you just need to continue the drying process. If not, I leave them.