I have slept very comfortably in extreme cold in a Baker-style tent (one side open) and a nice fire outside. A well configured rock shelter is even better, but those may be hard to find. i would suggest that,if building s SS, plan ahead so that the early morning sun will shine into the shelter - that is when you will really appreciate the heat.

Lastly, inquiring minds want to know, when dining in your super shelter, do you use a super bowl?