Yes, you have some radiative cooling downward and upward but you get a little static boundary layer above you instead of convective flow. You can do the same by making a little wall the same size (you have to do this when sleeping on the ice -- don't attempt that in california!) but I find digging a little trench easier. The same effect either way.
Thanks - BTW I was confused because I'd call that avoiding "wind-chill", or even avoiding "advection cooling" (from a techincal fluid dynamics perspective)... "convection cooling" makes me think of heat loss by warmer air rising, not due to lateral flow. But that's the ordinary meaning - technically, convection and advection are synonyms, so you're quite right.