You are correct, using water is a bad idea. Of course once the water cools it just creates the problem all over again. The best solution is to go to an automotive store and buy some door lock de-icer. It's usually a spray that not only thaws the frozen lock, but helps prevent future icing.
〉 Answered on Dec 1st, 2006 by Lori Johnson, Owner and Instructor at Ladies Start Your Engines
Hot water will freeze quicker than
cold water in extreme temperatures. The best thing to do when locks are frozen is
use WD-40 with the spray tube that comes with the can and spray it directly into
the door lock cylinder.