The secret to playing in the snow is to make sure that you have proper* snow gear. Personally, my favored fashion statement for snow-playing is: snow pants (the kind that go shwop shwop shwop as you walk in them), a small parka (waist length, rather than the full-on parka), hot paws mittens, kamik snow masher boots, and a 10-bear hat! Not pretty, but BOY is it warm.
* proper = warm, waterproof, and designed so that you can move around