Not necessarily. Assuming no injuries, no storm and lots of wood, the big thing is keeping dry and keeping out of the wind.

Building up a snow wall is effective for cutting the wind (downslope direction at night, usually). But it's a lot less effort to string up a plastic tarp or two.

It can take a lot of wood to keep a good blaze going all night. The more shelter you have, the less wood you need. The decision depends on how easy it is to resupply, how deep the snow is, the risks of getting wet/injured while gathering, and so on.

And keep in mind that it can be bloody cold at 5 a.m., after you've stopped moving for hours. A sleeping pad and light overbag can make your impromptu camp a lot more comfortable.

And remember to dry out your boots and mitts while you can.