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Hikers who are backpacking during the winter often find that the most comfortable sleeping arrangements are within a man-made snow shelter. This is because snow insulates warmth inside. There are a couple of different kinds you can build. People usually think of igloos, but the best kind for camping are snow caves, also called quinzee shelters, for multiple people. If it's just one person, a snow trench is easier and might be what you want.
WARNING: It's obviously not a good idea to try these without any experience. Be smart about this. If you build it shoddily, then a snow shelter is liable to collapse on you. You probably shouldn't sleep in one unless you have tried building them several times or have someone experienced with you. I would build a few while sleeping outside for practice, and see if they hold up the entire night. Also remember that the basic plans for these may not work and may have to be adjusted depending on the terrain where you're building it.
How to Build a Snow Cave:
The basics of it are piling up a big chunk of snow and then digging out the center of it. But you'll need to do a little more to get it to work.
Step One: Pile the snow. It should be about seven feet high, and 12 feet around. This is going to be a big pile. Make it wider if you have more than two people. Pack the snow in as you're piling it.
Step Two: Get a bunch of sticks. Break them off at about a foot and a half each, and make sure they're sturdy. Now stab them into the pile of snow all over the place. Push them all the way in. You want them to be there because when you're digging out the inside, you need to leave adequate wall space for the structure to be sound.
Step Three: Wait. This can be a LONG wait. The max is about 7-8 hours, but it will go faster with older snow and on warmer days. If it's fresh snow, you're out of luck, it will be awhile. You have to wait because the snow needs to settle and get tightly together. There's nothing you can do to speed it up - there is a myth that you can pour water on it to pack it, but think about it: that just means a lot of ice, and you won't be able to dig.
Step Four: Dig. You will get wet doing this. One guy digs inside, passing snow out to the partner, who dumps it. If you hit a stick when digging, stop. You can shape the interior - lots of people build little nooks to store things on. You should keep an area for sleeping bags that is kind of close to the ceiling - that will keep you warmer. By that I mean maybe a foot or two higher than the floor overall. Another tip is to dig inward somewhat before building the interior. If you make a little tunnel to get in, then the wind won't blow inside as much. The alternative is to build a little "door" out of ice or blocked snow, or stick a pack or something to block up the entrance.
Step Five: Make an airhole. Pull out one of the sticks, and poke it back and forth if the snow closes up. You'll live without it, but it's a good idea.
Safety Issues: Watch for melting water. If it gets too hot inside, the structure will melt and collapse. This is more likely with more people.
Also, face the entrance away from the wind and keep a shovel inside the snow cave. This is very important if more snow is falling - your entrance could get covered up, and you need to be able to dig your way out. I would not stay in a snow cave without the shovel or something to pick your way out - the walls can get VERY hard.
Another tip is to put a tarp over the top if you've got one if you're caught in the rain - it will keep the structure solid and keep you dry. This is a serious issue because of ice formation, especially if it's newly built.
Some more sites on snow caves / quinzee building:
A how-to here, another how-to with useful pictures here, and a third one here. They're worth a read if you're going to do it, because there are some other good tips.
How to Build a Trench Snow Shelter:
This is done in a very similar way, but it's made for one person to lay down in and sleep. You'll need a tarp to do it.
Step One: Pile snow. Make the pile three feet high, six feet wide, and twelve feet long. It should look like a rough rectangle, with six foot sides and twelve foot sides.
Step Two: Wait. Let the snow compact and get packed in good. This can take several hours. Go get some sticks while you're waiting, thick ones that are longer than three feet.
Step Three: Dig in the structure. You should be making a big hole with no roof at this time. Make it nine feet long, three feet wide, and two deep. Also dig an entrance at one of the six-foot sides. Make it big enough to crawl into it. Dig three feet deep near the entrance, and have it go up to two feet, so that you're in the rising warm air when you sleep. You should now have rectangle with a big open hole in the middle.
Step Four: Put the sticks across the top. They are to support the tarp. Put them as close together as you can, and use at least 25-30 of them. Then drape the tarp over the sticks and pile some snow on top to add insulation.
Now you're done. You can see another site with some other ideas here.
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