Answer
Snow contains pockets of air, which provide insulation and help prevent heat loss.
Work Step by Step
Snow contains many air pockets, and air is a good insulator. The explorers were using snow like a goose down-filled jacket (which has a low thermal conductivity due to the air trapped between the feathers).
A layer of insulating, puffy snow would also shield the explorers from wind, mitigating heat loss by convection.
