At this time I have a very sad amount of snow (maybe and inch or 2) and its not packy but here goes. I am going to show you how to make a snow shelter for fun of for a survival situation.
Step 1: What You Will Need
A bunch of pine and spruce branches
Some big pieces of bark
A pocket knife
Step 2: Wall's of Snow
Ok, this is where my small amount of snow is a problem. Build yourself a wall of snow a little taller then you when your sitting down (Tip: Try to keep your hands dry as possible) Make sure its packed well. Repeat about 6 feet away from your first wall. Once you have your wall's completed continue on to step 3.
Step 3: Pine Branches
Use you pine branches and lean them up on 1 side between the 2 walls. Put snow down on top of the pine that's on the ground. Now, put branches down between the 2 snow walls and on top of them. Put the bark on top of the pine branches.
Step 4: Stay Warm
Lay leaves, bark, more pine, anything. Down on the floor of the shelter to keep you off the ground. The ground is cooler then the rest of the air (doesn't hold heat well) Once you inside pull a pine branch over the entrance to keep more wind out. If you can manage to build a small fire outside (I highly doubt this is going to be manageable) do that to.
In my case I made a small shelter and put a stuffed animal in it. On the bright side if your shelter is on top of you in the morning it will be fairly easy to get out of.