Many films and TV shows have also used the trick of putting a small wire cage with a piece of dry ice in each actor's mouth to simulate a frigid environment. I remember reading production notes for "Conan the Destroyer" where they discussed doing this for the sequence in the ice castle on the lake.
I found the Conan story on-line. Maybe it was a scene with no dialog, or used ADR.
Do you have any other documentation on this? I find it very hard to believe, as dry ice can cause burns quickly. Even if isolated by a "cage," dry ice is carbon dioxide. You'd asphyxiate every actor on the set. (I know from experience, catching a breath of dry ice fog while bending down to pick up something on a set. It's not breathable, like mineral oil smoke.)