It is almost always the correct decision, no matter what the situation. At his home he had access to all sorts of materials, and was clearly visible from the air.
And a shelter in the snow is pretty warm -- regardless of how cold it is outside it will pretty much stay at 0 C. The problem is that you can't be seen from the air (or by someone walking by!) when you're in the shelter and little sound will likely get through either. So you need to make a useful marker, which is slightly touched on in this article.
I have taught numerous people to make these emergency shelters out of material at hand (I'm a wilderness and snow survival instructor) and have been told that it has saved at least one life.