I've been told that creatures and dwarves can be frozen by the environment, it's just that glaciers in a world created with ordinary world-gen parameters won't be cold enough.
This. I've just genned up a quick pocket world with advanced parameters, setting the temperature range between -500 to -100, and embarked.
Upon arrival, I made a new military uniform containing nothing, set to replace clothing, entitled simply, "Naked". I then assigned all my starting seven to a squad, gave them that uniform, and then chuckled malevolently as they went and stood in the middle of this icy wasteland clad only in the beards Armok gave them.
Meanwhile, a slight issue with the wagon and its wooden barrels of delicious, necessary alcohol soon became apparent:
Hmm. If the !!SCIENCE!! doesn't pay off and they don't freeze to death, those are going to be some very irate dwarves. Oh...
Well, discovery number one: dogs definitely freeze to death. So, it turns out, do yaks, hens, cats and drakes.
But dwarves, at least so far, seem to be doing just fine and dandy (although they are all complaining about the draft - while standing naked on a glacier). Maybe they're immune to the cold.
Ah. Or maybe not.
Okay, definitely not.
So, test result: yes, dwarves can freeze to death on a glacier, as can all other creatures that I embarked with. Also, alcohol can freeze, as can your wagon, leaving you with nothing but a snow-covered pick and some wonderfully useless crossbow bolts.
Oh, and freezing to death doesn't leave the corpses in a particularly neat state, either: