Normally, "Jack Frost" is a personification of cold weather, and "nipping at our toes" would refer to the sensation of cold that affects one's extremities. In your case "nipping at our toes" could mean "almost caught up with us", but really we need more context. )
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Mr Wordy (When I read it, I thought "Jack Frost nipping at our toes" was a line from a well-known Christmas song, but, looking it up, it seems the line is actually "Jack Frost nipping at your nose".)I, at first, thought exactly the same. Given that, I think Madhulk's guess is probably correct: "running after them". It's either very clever writing