On my Knife-Only Survival Courses, students and instructors sleep out in the cold by burrowing into a thick bed made of pine needles. By thick, I mean four to five feet of needles or leaves piled high into a framework of logs. Stack the logs into a rectangular frame about a foot wider and longer than your body. Then, layer two feet of compressed debris (leaves, moss, duff, cattails) on the bottom to keep the ground from conducting away your body heat. Next, pile up about three to four feet of more debris on the edges to create a body-sized trough. When it’s time to turn in, spread flat on your back in the trough and scoop the debris in around you like a blanket, covering yourself from head to toe. Yeah, you're going to have dirt, rabbit droppings, and pine needles in your hair, ears, and nose, but it beats dying a slow death from hypothermia.
I’ve slept this way, without a sleeping bag, down to 10 degrees Fahrenheit during the colder months and, on occasion, have had to pull off some “bedding” during the night, as these shelters retain heat quite well (squirrels use a similar setup). I recall one story about a lost child stuffing his pants and shirt with oak leaves and surviving several nights out in freezing temperatures.
Just keep in mind that this is a non-smoking shelter, and build any campfire a good distance away. Otherwise, your shelter itself will turn into a signal fire—you don't want to be that warm.