Not so much showing you how to make it because I'm entering in the snow contest but this is what I did.
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Step 1: Step 1
You have to get a lot of snow. I used a skid steer.
Step 2: Step 2
Then just dig it out. Try to keep it round as this will make it stronger.
Now carve out shelfs for candles.
Now put a wind lock over the opening. I used a saucer sled.
You are done