Bundle up all of the kids and go outside on a day when there's been a lot of snow. Help the students to build a snowman or make an igloo from the snow. You can also teach them to make snow angels by lying down and waving their arms and legs. If it's currently snowing, see who can catch the most snowflakes with their tongues.
Gather several hats, gloves, scarves and boots and select one child to be the "snowman." Dress him up in the winter clothes, then have students close their eyes as you change one of the items for another one. When students open their eyes, they have to remember what the snowman was wearing and tell you what has changed.
Fill a large container with about an inch or two of flour. Give students small figures that you might see in the snow, such as penguins or a Santa. Students can play with the flour, building hills and creating a snow scene with the small figures.
Take white, circular coffee filters and have students drop water that you've dyed with blue food coloring onto the filters. After they have dried (probably the next day), have students fold the circle in half three times, then cut small pieces out. When they open it again, they'll have a beautiful snowflake. This helps with cutting practice, an important skill for preschoolers.
Have students cut out paper in the shape of a hat and gloves. If your preschoolers are still too young to do this, you can prepare the shapes ahead of time. Then have them cut small pieces out of colored tissue paper and glue these onto the hat and glove shapes.
Throughout the winter season, choose books that focus on winter. These could be simple story books that take place in the winter time or preschool science books that explain what snow is and why winter happens in terms that they can understand.