|Beware the Fae Ferryman who may take you across the river|
... to Arcadia.
When designing the fae in this model you should consider the pagan gods like those of Greece and Egypt where powerful entities repeat similar actions according to their portfolios and gather mortal worshippers which they guard jealously. While most of the races are well aware that these are not gods, merely powerful entities that may, at best, be temporarily banished from their Arcadian Realms of Divinity through slaying their Avatars in this world, there are some who do worship at their altars and considering them to be gods and goddesses of their realms.
While there are rumor of demi-gods borne on mortals, more often these are merely other fae who have been given the role of such a figure though few among the mortals are aware of whether the fae have any reproductive strategy to produce more of their own. In truth, their procreation would create a tiefling or an aasimar and not a demi-god. Those thought to be demi-gods are actually what happen when a fae's tale loses relevance and they are forced into banishment for a period of time or until they accomplish a certain number of quests. Once they have accomplished the agreed upon quests they are then allowed to rejoin the Arcadian Realms as a True Fae in their new guise.
Building Your Own Fae
While you don't need to use the True Fae rules from Changeling: the Lost Equinox Roads, you are certainly welcome to do so if you have that book handy. There is no reason why these semi-divine beings couldn't be designed with Contracts, Titles, and other such creation rules. Of course you could build them however you like as they are meant to be able to feign being gods. You could give them Disciplines, Gifts, Numina, or even abilities you made up yourself.
A Fae can have attributes and skills from anywhere between 1 and 10. Their attributes can be spread out at 10 / 7 / 5 and their skills as 21 / 13 / 7. After all these are meant to be powerful figures who are dangerous to fight and who, if they were in our world, would have inspired tales of not only the Celtic Fae but also of Heracles, Athena, and Thoth. They should be obscenely powerful and wherever they tread stories will follow.
There are methods to appease them, however, forever and always. If you obey these rules, which thankfully most nearby mortal races know, then you will be safe from those depredations. This might mean taking care of a shrine, bowing whenever you see one, or ensuring certain sacred festivals are followed. It also means never, ever unfavorably comparing a True Fae to a mortal or other creature. No one else should be declared to be more beautiful or more intelligent than the True Fae.
Using Changeling's True Fae
There are some distinct personality differences between these Fae and the Fae as written, not to mention the fact you'll likely need to sprinkle a few more attribute and skill dots around. As to personality, these True Fae are often quite similar to humans in personality - they're just more archetypal and larger than life. They are also quite predictable and are not necessarily toxic to mortal life. They also won't kidnap you simply to experiment upon you though you might find yourself taken as a bride or servant or turned into a stag if you don't obey the rules of the area.
There are also a number of Fae in the Changeling books who would be quite anachronistic to use in a fantasy world. Even if you take their stats you will likely need to tweak them to make them generally less unknowable and more akin to a god - often with a portfolio or other aspect that connects them. This doesn't mean that you couldn't use Fae based on myths of huntsmen or playful fools, but twin doctors might not be as appropriate.
Tweaking Jack Frost
You can find the article that includes his statistics over here. Add 1 to his Manipulation, Socialize, Investigation. The next thing you would want to do is consider how he might fit into the theology. A male youth connected with snow and the cold, with fun within the cold, both represents its benefits, its temptations and its perils. Parents would likely warn their children about dancing off with Jack Frost, about how he might lure them onto the ice with pretty patterns, or encourage them to stay out after dark. Jack Frost, being a youth rather than a child, might also be a tempting figure for young lasses.
The next thing you would need to do is determine his relationships with all of the other local fae. Perhaps he is thought to be the rebellious son of Old Man Winter? Or perhaps he exists in duality with Old Man Winter as both sides of manhood - old age and youthful exuberance. Is there an Aphrodite figure who might try to tempt him even while she is married to someone else?
Also bear in mind that the local fae in the area, if worshipped as gods, will make an impact on people's expectations of archetypes. A Jack Frost figure suggests a playful innocent archetype that is most often reserved for young women rather than young men. How might this impact on the local tribes? Might people try to be more like him? Or is he a cautionary tale due to too many people dying out in the snow (less likely with Yuki tribes)?
More True Fae?
If you take a look at my Changeling: the Lost tag in this blog you'll be able to find a few more True Fae among them. Alternatively you could purchase the various Changeling: the Lost books and grab a few Fae from over there. Or, y'know, just build them yourself.