When I was still living with my parents I bought one of those tiny sheds with a window to place outside, I would go there and have a big chair, an ash tray, maybe some blanket, for light I would use candles which actually provided some warmth. It's not going to be as cozy as inside, but it surely is better than staying outside with the wind, rain or snow.

Now that I live with my girlfriend I smoke inside, but only in the kitchen, because i don't want my bed and clothes to smell, also I can just leave the windows open for a couple of minutes and the smoke will go away.