I think I found it! And, tsuwm..he quotes the Concise QED as the source!
Quoting from the site in excerpt:
I am near convinced now that if there is any substance to the popular etymology of the expression "cold enough to freeze the balls off a brass monkey" as relating to cannonballs, it has nothing to do with _naval_ gunnery at least.
Upping the ante, however, a friend of mine with similar interests, sent me the following in email, early in 1996, which I don't think I ever got round to forwarding to the group:
I have found out what a Brass Monkey is.
According to the Concise OED, the two volume version with four-pages-in-one printed in micro lettering, it is "a kind of gun or cannon." The usage seems to be archaic. The dictionary cites a 1650 book called Art. Rendition Edinbur. Castle as referring to "28 short brass munkeys alias dogs", and a 1663 (1672) publication called Flagellum, O Cromwell as referring to "Twenty eight brass drakes called Monkeys."
How this relates to 'freeze the balls off a brass monkey' is unclear, but [...] Perhaps it is a reference to the coefficient of expansion, ie; if it was very cold, perhaps the muzzle of the cannon was too small to prevent the iron balls from being loaded (differing coefficients of expansion)? I may be stretching the point a bit, but food for thought anyway.
(private email quoted with permission of the author) Here's the url for the full text:
http://www.urbanlegends.com/language/etymology/brass_monkey_more.html
