Once the fascination is there, it's tough to get rid of it. However, I think the shelter building may be a good idea. It will give them a place to go out of wind, so it might help them stay warmer. Also, there's not much that kids like more than their own club or fort. If you can build one or more with them, they'll love it.

What about some simple chemistry experiments? The combination of vinegar and baking soda once brought me joy. Thirty-plus years later, I can recall a small Anacin bottle the top of which became a projectile.