It's a minion, so you can give it to your pet. Other than that, they don't do anything.

You just found a bluegreen snow fairy!

..... okay.

What do they do? Are they just a collectable?

Thanks for answers, be sure to ping me! ❤

There are achievements for finding X number of snow fairies throughout the month of December, as well as for having one of each color in your inventory.

If you save them, the Recycle Beast (in Riverside Valley) will ask for them at some point, and you can get recycle points for things from his shop. :)