I believe we re talking about Pelargoniums? Commonly known as Geraniums? In which case I have never heard this idea. Frost reduces the stems to blackened mush and they are then no good for taking cuttings. Nor is blackened mush an attractive look for overwintering as growing plants. A very mild frost will probably not kill them outright but it will do them no good and I wouldn't advocate it. Just bring them in when frost is forecast. Maybe you got this notion from Dahlias? People say to dig them after the first frost. But the frost isn't necessary, its just an indicator that it's time to lift the tubers if that is needed in your climate.