If your snow is of the packable, snowball-making variety, try this

simple brick-making method: scoop the snow into a clean bucket, pack it down with your hands or a shovel, then flip the bucket over in position. A couple of quick thumps on the bottom of the bucket, and--voilà!--the bucket slides off to reveal a perfectly shaped cylinder of snow. Stack the bricks to make walls or use them as we did: to support our kitchen table and to line the pathway to our front door. For extra firm bricks, let the cylinders freeze overnight on a piece of plastic tarp. When setting them in place, use fresh snow as mortar.