Would Legolas want to lie down in the snow anyway? It would mess his hair up!
Anyway, I think this could partly be answered by the 'custard theory' I put forward last December. You can apparently walk on custard (it would need to be considerably more than a bowlful) and not sink if you keep moving; this is similar to quicksand in that it is viscous enough to mean that the water (the stuff that dilutes the solids thus making custard, snow and quicksand perilous obstacles for unwary travellers) is displaced by your weight as you move around.
If the snow is 'viscous' enough to allow you
not to sink in if you continue to trip lightly along (a la Legolas), but to leave a slight impression, then yes, Legolas
could make snow angels. But maybe Gimli would also be busy making ultra-tightly-packed snowballs to throw at him for wasting precious time in larking about while they attempted to cross Caradhras?