Warning! Snow is cold. Places with lots of snow are often cold. By standing in a place with lots of snow and playing with snow, you may also become cold. Wrap yourself up thoroughly (with waterproof trousers if possible) and be aware of signs of hypothermia.
Keep an eye out for:
Numbness or tingling of your extremities and face
An increased sense of clumsiness, confusion or difficulty concentrating
Drowsiness or fatigue
If you notice any of these symptoms in yourself, go inside and warm up for a bit before carrying on with your sculpture. If you notice them in anyone else, consider slitting open their belly like a tauntaun's and climbing inside for warmth until help arrives.
Avoid building your snow sculptures on large frozen bodies of water or in places prone to avalanches.