Mine went down when hit by a cold breeze at about -4°C [F=(9C/5)+32]. This wasn't measured accurately in situ, but some level of temperature recording occurred nearby. Different varieties exhibit varying degrees of frost resistance.

I'd suggest securing some horticultural fleece around your plants, and beware of damp mulch, as [USER=14]@_Trip_[/USER] suggests. Double up the fleece if it goes to a hard freeze, and be reassured that you can at least brew up frozen cacti quite easily should the occasion arise, if you act quickly.