I tried the trap in a plastic bag (both produce and regular Walmart bags) in the snow because guys in Alaska and Canada swore by it. Might work well in the real cold, but with wet packy snow it acts like a sausage casing and pushes the animals foot up out of the trap. At best you get a toe catch, a little more snow and you end up with nothing but a stuffed bag full of snow in your trap that looks like you caught a full diaper. Coffee filters work good if it isn't freezing, but I went to using straight wax paper because that is what I like when it is freezing and I don't want to pack something different for the rare occasions when I'm not worried about it freezing. I use waxed dirt when trapping in dirt, both under the trap in the bed and covering the trap. In snow depending on the trap I will often put wax paper under it to set the trap on, as well as covering it with wax paper. If you are putting wax paper under it, make sure it has holes in the low spot for water to drain, so if it warms up and melts or rains the wax paper won't form a cup and leave your trap sitting in a puddle of water that will then freeze. I've also used yellow pine or tamarack needles at times without another covering, they don't freeze easily unless you make a thick mat of them. Just make sure they aren't in a spot exposed to a lot of wind or they are liable to blow away. If you don't have to worry about freezing you have more options and I would say coffee filters will work well.