The only cosmic ray component that passes through the Earth is neutrinos. But you don't have to worry about them fogging your film because they also pass through your film.
The radiation environment in space is very different than on the surface of the Earth. The primary cosmic rays contain energetic charged particles such as protons and heavier nuclei. These are hard to stop with shielding without producing additional radiation, hence the idea of polyethylene for a Mars mission. These primary particles never reach the surface of the Earth because of the Earth's magnetic field and atmosphere (otherwise we would be dead or have a very high rate of cancer). Plastic is not a good shielding material for the secondary cosmic rays at ground level, nor for the radiation from natural radioactive isotopes.
Lead is a good shielding material. But it is expensive. More of a cheaper material might be more cost effective. The film shield bags are rather thin -- they are designed to block low-energy x-rays. Thicker lead or some other material like thicker steel might work better.
I remember reading that for long-term storage of film, Kodak uses an old salt mine. The most penetrating cosmic ray component (ignoring the neutrinos, which are so weakly interacting that they don't matter) are the muons. It takes tens of meters of material to block muons, so a mine is a good approach -- obviously out-of-scope for putting in your freezer. But not any mine will do -- granite or similar rocks are likely to contain uranium or thorium, and so will contribute a background radioactivity.
So, yes, shielding will probably help extend the lifetime of frozen film against fogging, but I don't know whether the lead bags sold to shield film from airport x-ray machines are thick enough to make much difference.