Turn the wand of cold Asmodeus has into a special souped up artifact wand of cold, perhaps one that can cast cone of cold when zapped and does not lose charges if Asmodeus is the one zapping it.

You can use a forge to combine elemental wands with weapons, destroying the wand and conferring an object property of cold, fire, or shock on the weapon.

Gehennom special room “ice cavern”, with mixed ice/regular floor, possibly with unnethack-style irregular ice walls, and containing ice devils and cold-themed items like wands of cold and rings of fire resistance.