Brianle
In the case that you speak of your best tool is a medium weight pair of pruning shears. I would choose a bunch of fir trees that form a natural shelter under them. Under the tree there will be a lot of dry branches that can be removed to start a fire or for insulation under you. With some larger branches laying on snow and lots of green needles, you can get a fire going on top but it won't last real long - take advantage of it.

Trouble with snow shelters as you say, is getting wet. Whats our cardinal rule of staying warm? "don't get wet", so the whole concept of emergency snow caves is flawed. Also they sag, so a day or two later the ceiling may be too low to use. Snow is a good insulater. A plastic bag over you and then bury your self in the snow. As long as you have a breathing space outside of the plastic you will be fine. Apparently no one has ever suffocated in a snow cave unless it collapsed onto them, and if it did, how would you get out, or would you die there?

Obviously I consider snow caves to be dangerous for two reasons, you will get wet digging it and it could collapse on you.
Jim