Slim: I've seen them dig a hole and crawl inside. Curl up at the base of a tree, in a spot where they are protected from rain and wind then just wait to be covered with snow. I've found them under deadfalls. Anywhere where they feel protected and dry.
I've personally never found one in a cave, too cold I think. When they are covered in snow they are in a nice warm nest, with temp usually in the 20s, no matter how cold it is outside.