If there are no drifts available as WD said snow can be piled up and packed. Best procedure is to take all your gear and put it in a pile where you want the cave. Cover it with a poncho or similiar covering and then pile/pack the snow on top. Once the snow is packed high enough dig down to your gear and pull it out to finish the inside of the cave. Doing it this way will save you a lot of time lying in the snow getting wet while you dig out snow you just shoveled and packed to make the cave.
The option is to do it the ranger way and get completely soaked and miserable.
MVP