You don't have to do anything. People can throw snowballs during the winter (in fact there are achievements for doing so), and if you get hit with a snowball it just makes a hex appear on your HA temporarily (like a few minutes or so). Different snowballs look different on the HA.
You can throw some snowballs yourself if you want, you can buy them from the Avalanche Emporium and throw them at the Snowtapult, both places are found in the Arctic Frost.
you can also purchase the [item2=Snowball Reflecting Shield] if you don't want to be hit by snowballs. It doesn't work 100% but it does vastly reduce the chance of being hit.
Once you buy it, you need to put it on your HA and save so that it will work.
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