I run a Frozen orb/Chain lightning Sorc and have finished hell, so i can give you some pointers.Frozen orb is great since it does not need synergies.You will need a second spell for the cold immunes.
You do not need 20 points in cold mastery.Cold mastery reduces opponents cold resist but it will not break immunities (if i am correct).I have 5 hard points in Cold mastery.Sure, you do lose some cold damage,but you will need the skill points for the second skill (fireball).
You can keep one point in warmth and use an act 2 merc with Insight.The runeword is dirt cheap.You do not need a colossus vulge for it.CV needs 210 strength! Use any nightmare polearm for Insight and you will solve mana issues.You can always upgrade later to an elite polearm when your merc can actually wield it and you find a 4 socket eth one.
You will need better gear to finish Hell difficulty.Btw you do not need to farm Chaos sanctuary or baal.For cold sorc one of the best spots for farm is Act 2 (Ancient tunnels and arcane sanctuary).You can use charms to max your resistances.
I found my ber rune in Arcane sanctuary and tons of stuff in ancient tunnels and lost city.
If you need some gear,send me a message.I will be happy to help with some gear.