"From the rumours, it seems this world is cursed. I don't have trouble believing this, our sky is darkened by a permanent smoke. It is said that behind this smoke used to be the biggest fireball anyone has ever seen. Stories say that a powerful magician created it hundred of years ago to keep the world from freezing. But it is gone now, as all we can sometimes see, when the smoke is pierced, is shards of white lights in the sky. The fireball was probably shattered by the one who set this curse upon us.
Our world is cold and dark. But we've grown used to it. At first, storybooks say that the white shards falling from the sky used to freeze us so much it burned, but we've grown used to it and protected ourselves accordingly. Our eyes grew accustomed to the dark, at least a little.
We're at war against an enemy we cannot fool. Creatures, mighty and swift, are searching for us. At least, it seems there aren't many of them since they did not find us yet. Our clan is separated in groups, scattered into the wild. Using maps, we're able to figure where are the other clans. Once in a while, we change locations as we need to move not to get caught. We meet with another clan to share with them our new location. This mechanism keeps us safe."
This world is set in a fantastic medieval world, mostly populated by humans. As described by this character, the sun is permanently hidden by a clouded sky, caused by a curse. It isn't complete darkness but it looks like a heavy-clouded day a little before the sun rises in "our world", so there's a little light. It snows most of the time, and it seems the only time the curse allows people to see through the smoke is at night (hence the little lights). They are separated as a "war" tactic, to keep enemies from slaughtering them all if they were to ever find them. Let's assume for now they cannot hope to win a fight against these creatures, meaning they need to flee.
Where would such a group shelter themselves? Considering the cold temperatures, the constant darkness, the need not to be found easily and the need for basic resources (food, water, etc.). They do not have much material to move, apart from some tools and food/water reserves.
I thought a cavern would be a good pick since they can protect from snow, are not necessarily easy to find and can somehow protect from the cold. But big (consider room for 10-15 persons) caverns aren't necessarily easy to find and it is pretty much impossible to see something in the darkness of a cavern. Also, I'd like my characters not to all be in caverns so it can be diversified a little.
They have no access to magic themselves but are used to live in difficult situations so they are self-sufficient.
@AndreiROM and @Frostfyre made me realise it didn't make sense for them to still be alive in this scenario. Here's the post that addresses this problem