Creating permanent shelters isnt possible in the base version but there are some solid temporary options to work with. Youll need 15 sticks and 5 cloth to craft a snow shelter, which gives decent protection from the cold with a +15°c bonus, though it does break down over time and needs fixing up. For sleeping outside safely grab 2 cured deer hides and 2 cured guts to make a bedroll, really important for overnight stays away from buildings

The games more about finding and using whats already there like cabins caves and cars rather than building new stuff from scratch. If youre really set on construction though, mods like better bases let you move furniture around and fix things up while architect adds actual building pieces you can work with. Just remember these arent part of the original game

Tip: snow shelters work way better if you set up a fire nearby especially during those nasty blizzards. And always keep some extra sticks handy, youll need them for repairs more often than youd thin