I have been winter commuting for about 7 or 8 years now, and I can only recall my rear derailleur freezing up two or three times. When it has happened, I could see it icing up before it froze solid, and i just put the bike in a 'middle' gear and didn't worry about it too much.

As suggested above, the best thing you can do to prevent icing and wear to your drive train is full wrap fenders. They are an absolute must on a winter commuter.