Many regions near the lunar poles are currently cold enough that surface water ice would be stable against sublimation losses for billions of years. However, most of these environments are currently too cold to efficiently drive ice downward by thermal diffusion, leaving impact burial as the primary means of protection from surface loss processes. In this respect, most of the present near-surface thermal environments on the Moon may actually be quite poor traps for water ice. This was not always the case. Long-term orbital changes have dramatically altered the lunar polar thermal environment. We develop a simple model of the evolution of the lunar orbit and spin axis to examine the thermal environments available for volatile deposition and retention in the past. Our calculations show that some early lunar polar environments were in the right temperature regime to have collected subsurface ice if a supply were available. However, a high-obliquity period, which occurred when the Moon was at about half its present distance from the Earth, would either have driven this ice out into space or deep into the lunar subsurface. Since that time, as the lunar obliquity has slowly decreased to its present value, environments have undergone their own thermal evolution, and each of the current cold traps experienced a period when they were most efficient at thermally burying ice. We examine the thermal history of a lunar polar crater to provide a framework for examining other processes effecting volatiles in the Moon's near-surface cold traps.