Actually, I did the same thing and... for a short while I felt a little sick about it. But I went to the store I bought the live pinky from and they told me that when they are pinkies, freezing isn't such a bad thing. They feel no pain and they simply go to sleep. He also said that because they sell live and frozen, this is how they get their "frozen" pinkies - they simply freeze them. Soooo, while I may hesitate to do it (freeze a pinky) again, I rest in the knowledge that someone else passed on to me.
What was more disturbing to me than this was actually feeding a live pinky to my first corn snake. The corn took the pinky "rear-end" first - but didn't constrict. Sooo, the pinky "squeeked" the whole time and just before the snake closed its mouth, you could still hear it squeek. THAT was more disturbing. Now, I only feed frozen.