My DD gets chapped cheeks, as do I. Lotions, even the most mild, all-natural lotions, sting chappy cheeks. I've tried them all on myself, and they hurt. I tried Mustela with DD, and she screamed.
The best thing really is stuff "like" vaseline - it doesn't hurt, and it locks in the moisture and keeps out the wind. I use Aquaphor, and it's worked better than anything I've tried, including vaseline. You can get a big tube, and little travel tubes also. Gerber also makes a "chapped cheeks" stick - but it's harder to put on b/c it so thick. SOmething your can rub on is less painful than a stick - although I've used Palmer's cocoa butter stick on my own chapping.
The key is to use the aquaphor when you know you're going to be out in the wind, but also put it on at night and in the morning to help heal the chapping your DC already has.
Good luck, and if you want to try a lotion, please only put it on a tiny spot to test - but truly, they sting and no amount of washing them off makes the sting go away. You need greasy in this case, NOT creamy.