You are going to need a shelter at some point until you are rescued. You should at least carry a tarp in your kit, if not a tent. A tarp could be a lifesaver when stuffed with leaves or grass as a barrier from the wind, snow or rain. In case you lose your bag, you can build your shelter as long as you can collect materials that could be put together as a rough shelter to help you get through until help reaches you.
Being able to build a shelter is vital in a wilderness survival situation. You need to consider the location before planning to build a shelter. A good survival shelter must block all the outside elements and protect you from the ground, freezing temperatures, heat, winds that insulate cold or heat, snow, driving sleet and rains.
There are various kinds of natural shelters to consider such as caves, hollow stumps, and logs. You can also build shelters such as a debris hut, lean-to, scout pit, snow shelter, etc., The type of shelter depends on the supplies available to you. The debris hut is the most practical and easiest to construct in almost any environment.