I know some of you live in apartments but those with backyards have a great spot to start winter camping. I'll just say that part of the thrill of snow camping is just being out in what seems like a really crazy sort of dangerous spot.
You need to temper that by being able to bail out easily and to have a bathroom handy. There are many many things to learn before you load your stuff into the trunk and drive to a snow park.
To start off, go out and pitch you shelter. Especially in snow or wind, this is an entire "outing" in its self. You might come in for a cuppa once or twice before getting the tent set up correctly. Note you may be trying some other thing like a tarp or Hammock, just set them up, then take it down and fold it up and put it in, or strapped onto your pack. Note that I prefer having my tent strapped to the back of my pack so I can access it without having to open my pack in a storm.
The next step, and this maybe on another day, set up your shelter, and put your sleeping pads and bag(s) in it. Put extra sleeping bags in the shelter if you have them, and extra pads. Then when its time, go crawl into your sleeping bag and try to get comfortable. Note that you have an array of extra gear. You might get into the thickest sleeping bag and learn how to adjust the hood. If you get cold pull another sleeping bag over you comforter style, and continue to add pads under you until you have enough insulation to keep the bottom side of your body warm and somewhat comfortable. [learning to sleep warm in a sleeping bag is an art of its own, if you are cold, it may not be the bags fault, you just need more practice]
Sometime in the night, after learning what you can do, go indoors, use the bathroom and crawl into your bed with its electric blanket. Coming in after midnight is not a failure, after all your trying to learn something and being able to say "I slept all night on my porch" isn't really gonna win you a lot of fame anyway.
Try this a few times until you get an understanding of what is required to be warm and comfortable and then try it in an actual snow storm. When you're feeling like you have the three hour snow camping trip down, try an all nighter. You can come in and use the bathroom and go back to your tent. You need to learn to get out of a sleeping bag and tent while its cold windy and snowing, and how to get back in without dragging in a lot of snow. I can see that as many as dozen such nights could be required to learn what you know to do everything smoothly - including maybe an attempt at a pee bottle or a visit to a bush.
You will need to practice lighting your stove, melting snow, and cooking in the cold. None of this is trivial and again - take it all outside and do it seversl times until you have complete confidence in your cooking system. IF YOU INSIST ON USING ALCOHOL, YOU BETTER PRACTISE ENOUGH TO BECOME PROFICIENT BEFORE TRYING IT IN AN ISOLATED SNOWY COLD SPOT.
While doing all of the above you should be experimenting with clothes. 2 pairs of cotton sweat pants, a sweater, an old down jacket, a hat and gloves. If you're lucky you will have really bad weather while training and get soaking wet, your tent/tarp blow down and your sleeping bag wet. If not you could maybe turn on your sprinklers and try to pack up your gear while staying warm and dry. ONLY BY FAILURE will you learn to appreciate to value of functional gear and knowledge of how to use it. By practising these things in really nasty weather you become qualified at the the single most difficult winter camping act - packing and bailing in a blizzard. Be aware that some very experienced people go into the shower with their gear for half an hour to test it.
After all this - which may take a whole winter season, you're ready to drive the car to snow park and camp within a hundred yards of your vehicle. I will tell you from experience that 300 yards can be epic.Good luck, but get out there, fancy gear ain't required just have extras and backup until you become confident..