My mother firmly believes in the first "cold nip" as she calls it. She's been growing outdoors for about 30 years now, and swears by waiting for the first couple frosts and picking a week or so later, in order to maximize potency and basically let the plant know it's time to finish for the year. A couple tips if you should be worried about the frost, or are expecting a hard frost (28-30F) you can cover your plants with a thin bed sheet (cheap thin ones from walmart in a color that won't stand out too much) or if small enough, use a bucket or tub over top. Also, if your plant is moist with dew going into the cold part of the night, sometimes a midnight shake will get a bit of extra moisture off before it freezes if you don't like the idea of drawing attention to it with a sheet. Also, its a good idea this time of year to give a shake after any rain, to help avoid bud rot as well.