I would wait out the frost myself and harvest the day before a hard frost is predicted. Light frost won't hurt the squash. Those that fully reached thier mature color can be harvested and stored in cool dry place. For most of us that means a barn, shed or garage. Don't put them directly on concrete tho, it seems to have an adverse effect. Card board is good.

If you're really worried you can throw old bed sheets or some other material over the top as frost protection.