Curse words are extremes in language. They are used as markers of intense anger or pain or some other strong negative emotion. They are often very much taboo - either people hardly ever use them, and they only use them in certain social circumstances. They are not polite, they are vulgar, they are considered a vice to either use them once or often. You are only supposed to use them in the most informal circumstances, that is, not in dialog.
Also, there are no dichotomies. Or rather, yes, things tend to lean one way or the other to a certain extent and some very far to the edges, but if you stand way way back, sure, you can say definitely yes or no.
Of course, people use them all the time, even people in formal positions, but not out in public and not so casually. Different societies treat them differently, and societies change. When I was a kid there were certain words that would get you in big trouble, and then a little later we would use those all the time, but then much later when I went to work, or would give lectures I would never use them.
There are a lot of different curse words so I'll only address the very particular ones you ask about.
This is only halfway vulgar. 'Frankly my dear I don't give a damn' was famous for its shock value, but really was it that bad? It has a number of 'minced' versions, weakened less vulgar cousins which are still pretty informal but maybe your aunt won't slap you as hard. Darn, dang, durn, dangit, goldurn, etc etc.
hell, bloody hell, what the hell
Hell used to be taboo for me as a little kid but now it's hardly remarkable. For someone to mince it by saying 'aitch ee double toothpicks' sounds puerile.
'Bloody hell' is pretty British sounding, still not terribly taboo (i.e. it'll sound 'special' to American ears; it may have special connections for a Brit - I wouldn't know.
is a very interesting case. It is a minced version of 'fucking', which is pretty high on the taboo/vulgarity list. 'fricking' is used by those who really want to use 'fucking' but their moms yelled at them too often for it. All his buddies make fun of him (it's always a dude) for using 'fricking' because he sounds like a wuss. It's not polite, yet it's no where near the vulgarity of 'fuck'. My inarticulate reaction to hearing it is that it sounds...stupid, kind of lower class.
Now the question is, would it be appropriate for you, as a non-native speaker, to use any of these under the appropriate circumstances (mostly very informal)? Usually a non-native speaker using curse words sounds -very- strange to a native speaker, not because they're being used incorrectly, but socially because the expectation of education in the speaker and it just seems out of place to hear the vulgarity.
So should you feel comfortable using these? Quick answer: damn and hell are OK, fricking no.
Full disclosure: every other word of my internal monologue is profanity of some sort, like I'm stubbing a mental toe every few steps.