I've actually done a Snow Day twice for playgroup now. The first time we made marshmallow snowmen for our craft. We put frosting in between the marshmallows to hold them together but it didn't work that well. I would've used toothpicks but didn't since we have such a young group. I also brought Pull-n-Peels to use as scarves for the snowmen.
Then, we had a marshmallow snowball fight! Always, always, always a success! I've done this at two different playgroups (one with a really small group and one with a large group), at home for a family activity, and once when my son had a friend over for a play date. It doesn't matter how many or how few people you have, it's always fun!
The second time we had a Snow Day playgroup, I skipped the marshmallow snowmen and we made paper plate snowmen instead. I brought tape, little black pom-poms, glue, and big & small paper plates. This was fun and not as messy as the frosting!