If I were going to make my own I'd use something hard core like Dow Thermax insulation. It's foil backed, glass reinforced, and has an R value of 6.5 per inch...you can build awesome shelters out of it.

Assembling a pad the way KenK suggests using foil or duct tape a 6 foot long, 20" wide pad out of 0.5 inch foam would fold to 6"x6"x20". But there's no way that would be practical to carry. I'd be better off buying a Thermarest Z-Lite pad.

I've been constantly shopping for tents and bivy bags and a 4 season tent is way out of my price range...I don't think there is such a thing as an inexpensive 4 season tent. Bivy's are looking much better for this as a 4 season bivy is not much more than a standard bivy...and most standard bivys seem to be fairly well suited to standing up to winter. It's a shame that US Military issue bivys are camo as there is a large number of Goretex bags on eBay for less than $40.

I have to keep reminding myself that this is NOT camping. I don't need to be completely comfortable...just not hypothermic, frost bitten, dehydrated, or injured. For my personal style I'd rather be equipped to handle many different situations fairly well instead of being equipped to handle only a specific few very well.