The construction of your cold frame does not have to be air tight. In fact, a little air flow is good for the plants and will not harm them. But, you can see that we mulched around our frames to insulate them just a little better (and for beauty).
The thinking behind the cold frame is that cold temperatures alone are not what actually kill the plant. What really kills them is the frost and drying cold temp winds that blow all winter, freezing the plant so that its cells burst. So if you can keep your plants from being killed by the frost and wind and just warm enough to not freeze, they will happily provide you with food all winter long.
If you weren't already aware there are certain varieties of vegetables that do very well in the colder weather preferring cool temperatures to hot. These are generally in the Brassica family i.e. spinaches, kales, broccoli, you get the idea. You can also overwinter root crops in cold frames. There is nothing better than fresh carrots picked right before you eat them, but don't forget to let a frost or two hit them to sweeten them up before you close them in for the winter. Note: Only let frost on your root crops as it will not harm them. Do Not let frost onto leafy vegetable crops as it will cause damage.