We did the "Snow Playground" lesson last Christmas and I thought that I would share our experience--and some photos.
We did not use an entire room. I blocked off a corner of one of out rooms using some folded up tables and an old bulletin board! I covered these with fabric. I put a big painting tarp on the floor to contain the "snow". I left a small opening so that the kids could enter the area as I didn't want them crawling over the barrier.
The peanuts were more expensive than I thought. I ended up getting a huge bag of them from UPS for about $20. The prices at the U-Haul were way too expensive. The best approach would be to plan farther ahead and get them online. That's another reason why we used just a small space (which works because we have small classes)--it would have been too expensive to fill an entire room.
The peanuts were supposedly static-free. They actually were static-free for the first class. By the second week, they were sticking to everything. I used a lint roller to get the bits of fluff off.
The kids did enjoy the snow pit--make sure you go over the "rules" before you get into the snow, since they just want to dive in and start throwing it! The lesson mentioned using a small coin. I thought this would be too small, so I used a small Tupperware lid. Even so, it took a while for the kids to find it. If I'd used a coin, we might still be there! 
Clean-up wasn't too bad. We actually used a small snow shovel to get a lot of the peanuts back into the bag. Then we used the tarp to pour more of the peanuts into the bag.
