Melt snow and drink the hot water if you are thirsty. Dehydration is always a threat, even during the fall and winter. If you are really lost and have been so for a day or more, keep in mind that you shouldn't eat without something to drink. Water is required for the stomach to digest food properly. Although it initially feels like it is warming you up, alcohol reduces your body's core temperature.
Caffeine does the same thing.
Rub snow on frostbite. Frostbite occurs when tissue freezes. The proper first aid is to quickly rewarm the frostbitten tissue and prevent it from becoming refrozen. If the animals are eating it, you can too. For example, red squirrels routinely eat amanita mushrooms, but many of these are deadly to humans.