Snowballs are made by taking freshly-fallen 'wet' snow and crushing the ice crystals in the hands, working it into a dense ball. It only works if the snow is close to melting point (just a few degrees below freezing) because then the pressure from your hands causes the points on the tiny ice crystals to melt and so make the ice more dense. The melted water then refreezes, locking the crystals in the ball tightly together.