[Golf1echo]

Hard shell jacket and pants can come in handy, as MVP said from being intimate with the snow your going to get wet, also regulate your work so as to control overheating. One method to reduce time and energy is to dig into a drift or hill side with a larger opening than you might typically use for a snow cave and when your interior space is finished go back and use snow blocks to build a wall at the opening leaving a small entrance that can be closed off.
Iksteve touched on the point that even in the middle of Winter in places like the Colorado Rockies it is not always workable to find good conditions to build a snow cave. Many a night at the old Camp Hale area a comfy snow trench worked fine and saved energy. Where I live now we get ice and poor snow, good insulation and a hard shell does the job.
Here is a G1 Multi Shell and G1 Liners.

Edit: One of the most effective elements that I have found in cold weather shelters is to have a dome shape above you that vents at the side, this holds the heat in your shelter while allowing fresh air to circulate as needed thus helping to control CO2 and condensation. If the venting is done at the top your heat loss is greater. Basically you are harnessing natural convective flows. The opposite would be true for a warm weather shelter, you want the heat to rise up and out. Second photo is an example of a simple,quick, light and efficient cold weather configuration.