Certified GKH Gardening Expert
I am sorry to hear about your plant. You will need to remove any yellow and brown fronds this spring, but only those, as they will not come back. Just use sharp shears to do so. Do not remove green parts of fronds. It is hard to say how well they will grow back. Sago palms do not deal well with lost fronds, but they have been known to recover fine. I would wait a whole season to see if fronds grow back. In the meantime, you may want to move you plant indoors or to a sheltered location (covering the plant should another frost be imminent).
These articles will help you as well: https://www.gardeningknowhow.com/plant-problems/environmental/frost-how-to-protect-your-plants.htm
Last winter, a thermocouple failed in a greenhouse heater when the outside temp was 10*F. Needless to say, the plants were very cold that night. My sago palm did not seem to be affected. I wouldn't suggest that this is anywhere near the preferred care of these plants, but it shows the resilience of some plant material.