The inspiring story of the martyrs is told here and here. Let me simply highlight this part of the story:
After being often remanded to an horrid prison-house, bound in fetters, and their mouths bruised with stones, they were ordered out in the depth of winter, stripped naked, and put upon a frozen pool, to die of cold during the night. The prayer of them all was the same: "O Lord, forty of us have begun to run in the race, grant that all forty may receive the crown, let not one be wanting at the last. Behold, is it not an honourable number in thy sight, who didst bless the fast of forty days, and at the end thy Divine Law came forth to the earth? When also Elias sought thee, thou, O God, didst reveal thyself unto him when he had fasted for forty days." Even so was their petition.
When the keepers were all asleep and the watchman only was awake, he heard them praying and saw a light shining round about them, and Angels coming down from heaven, as the messengers of the King, bearing nine-and-thirty crowns, and distributing them to the soldiers. Then he said within himself: "Are not forty here? Where is the crown of the fortieth?" And as he looked he saw one of them whose courage could not bear the cold, come and leap into a warm bath that stood by; and the Saints were grievously afflicted. Nevertheless God suffered not that their prayer should return unto them void; for the watchman wondered, and called the keepers, and stripped himself of his clothes; and, when with a loud voice he had confessed himself a Christian, he joined the Martyrs.