Hmmm, maybe I'm dumb, but I couldn't find a single mitten! I was snow-angeling all over the place!
Once you press E, you have to press E again at the right time to line up the bar with the angel icon to successfully make an angel (you'll see a decal appear on the ground). It's a little tricky, but thank you for trying the game!
Oh!! I will give it another shot here in a bit :) I failed to read the instructions. thanks