Many of us have been cross country skiing for decades in and outside of Saskatchewan and like many of you we get out in some pretty nasty cold. Even though there are cut-off temperatures for cancelling races we have raced many times in -25C and colder.
We have never heard of anyone actually freezing their lungs.
Doing some rudimentary online research, it looks like this is just not a thing. There is so much blood continuously moving through the lung tissue which seems to keep the tissue from freezing.
That said, breathing the extremely dry air that we get in the cold can be quite irritating to the lungs. We know cross country ski athletes who experience coughing and other asthma-like symptoms after racing in cold conditions; this is a temporary narrowing of the airways known as "exercise induced bronchoconstriction".
The takeaway? You won't freeze your lungs working out in the cold, but to help prevent irritation we recommend breathing through your nose and covering your face if possible. A Buff or balaclava pulled up will not only warm the air you breathe, it will also hydrate it.
For skiers who wear glasses (also recommended, as the snow reflects so much UV light up into the eyes) fogging is an issue when wearing a Buff or neck tube. If you have a solution to this we would love to hear it! The best we've found is to wear a flip-up visor with a lot of space between your eyes and the lens, such as the Bliz Proflip.
As for neck tubes, we recommend the Buff Thermonet. We've found it to be the easiest Buff to breathe through, and it's made of Primaloft fibers making it 4 times warmer than regular Buffs. However we've also found the cheap polyester neck tubes you can get for 5 bucks are not bad either!