Snow caves, you mean? Only did that once. Takes too much prep time. If you're gonna get a girl to take off her clothes in -15C, you don't give her time to think about it. Usually you try to stay standing. With a little effort, you've soon got a cloud of steam rising off you, and that's more than enough to keep you from freezing.
But if you're gonna try it, you must have a method to dry off before you dress. If you put your clothes back on over the sweat, you've only minutes before hypothermia takes you out. 30 secs with a wool blanket and you're good as new.
In the snow cave, you really want 3 or 4 layers of wool blankets under you. And ventilate that puppy. You'd be amazed at how fast you can get the temp abouve 0C in there and start the roof melting.
But .... if you're a real adventurer, try the swedish method. You and your partner in a hot swedish sauna. (that's the dry heat, not the steam bath) Get your temps way up, and then dive into a snow bank and go for it. I've only done this one once, and I was half hammered at the time, so it's at your own risk. But the afterglow slams down with the chill in a way you're ever known was possible. And as soon as you're finished, get back into the sauna. You will die if you don't. (Be one helluva way to go, wouldn't it?)