Thanks, Jim. Pruning shears strike me as too heavy for emergency use. I was initially thinking in terms of one of those little emergency wire saws, though I've read that the lightest versions aren't very durable or even reliable. In lieu of that, I just ordered a "Coghlans Pocket Sierra Saw" for $9 from Amazon.com, listed weight is 2.4 oz. I reckon I can cut branches at need with that.

Finding a natural tree well is certainly an alternative, particularly if time is short, or perhaps if you have nothing to dig snow with.
The thing that inclines me towards the snow trench/pit is that it can be made into a pretty small enclosed insulated space and thus can be significantly warmer than normal air temperature (obviously some fresh air is needed ...). I think it's do-able to dig a snow trench with a snowshoe and with care and pacing oneself not get wet in the process.

I guess that's about four things I want to make sure I have on winter day trips, beyond the typical ten essentials:
(1) snow shoes or one of those really light plastic "snowclaw" no-handle snow shovels (about 6 oz),
(2) some sort of lightweight tool to cut moderate sized tree branches
(3) a couple of yard waste bags (can split open to cover branches above the trench)
(4) some sort of reasonably long-burning candle, to add some heat to the enclosed space