I don't see why anything would need to boil and freeze. Surely the Borg would simply modify the skin to be just a teeny weeny bit tougher than ours is? It wouldn't take much, really: skin is very good armor against most things, including exposure to vacuum. All the Borg would need to worry about would be thermal regulation with internal sources of heat and cold - plus keeping their mouths shut and eyes covered, so that the vulnerable mucous membranes and eyeballs would not face the vacuum. Some sort of contact lenses would do the trick.