When I was in High school (many years ago) we went Winter camping on a few occasions, this is what we did.
Find a drifted embankment, barring that, pile up snow about 5 ft high.
Dig into it, leaving about a foot thickness in the walls and roof.
Heat/light it with a candle, making sure to allow for a draft/airflow.
This may not sound as involved as some might like, but I and my friends spent many nights a couple of miles from the house in just such shelters.