I've never done it either but I've talked with a couple of guys who have. They say it's very important to double zip lock the cigars and do every thing you can to remove as much air from each bag during the initial packing process.
If done correctly, freezing has no effect on the cigars, you'll never know that they were ever frozen.
Mark, if I were you, I'd just keep a careful eye on things for a while. If you see another beetle hole or two, then you probably should consider freezing them.
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