Actually I have tried this before with much the same rate of success.
First you boil up a pot of water. (I use my spaghetti sauce pot, not the spaghetti pot.) I added food coloring so that you could actually see the cloud. Blue was my choice.
With Matthew as my photographer we went outside to make a cloud of blue snow. Matthew was freezing, but he did a great job on the photo shoot. This video was actually our third try, and I can't say we did much in the way to improve science, but we had fun.
You could try this yourself at home if your temperatures dip below zero!
Please notice the giant coat I am wearing in the video, this is my "twice a winter when nothing else will keep me warm coat." Just saying. By the way, it appears to have a very loud volume. Either the wind was tossing my voice towards the camera or I was shouting in order to keep warm!