If you like keep it under the wig. If you want to show your fro put a moisturizing oil or butter in your hands, emulsify and scrunch in your fro to protect it from the cold. So in other words as long as you moisturize and seal you should be good. For example I'd spray some rosewater and rub a little evoo in my hands and gentle pat or scrunch on my hair if it's really cold I'd add a tiny dab of a butter I like for example mango cocoa shea aloe etc.
Some people stay away from coconut oil and glycerin because in some cold places it can make your hair break.
Also you may get ssks if you fro it often without any form of stretching.
When I first bc'ed I found that out the hard way and started doing funky 2 strand twists that were pretty cool and moist.